PortfolioEffectEstim: High Frequency Price Estimators by PortfolioEffect

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R interface to PortfolioEffect cloud service for estimating high frequency price variance, quarticity, microstructure noise variance, and other metrics in both aggregate and rolling window flavors. Constructed estimators could use client-side market data or access HF intraday price history for all major US Equities. See <https://www.portfolioeffect.com/> for more information on the PortfolioEffect high frequency portfolio analytics platform.

Author
Andrey Kostin [aut, cre], Aleksey Zemnitskiy [aut], Oleg Nechaev [aut]
Date of publication
2016-09-17 19:54:52
Maintainer
Andrey Kostin <andrey.kostin@portfolioeffect.com>
License
GPL-3
Version
1.4
URLs

View on CRAN

Man pages

estimator_availableSymbols
Get All Symbol List
estimator-class
Class '"estimator"'
estimator_create
Creates new estimator
estimator_defaultSettings
Estimator Default Settings
estimator_getSettings
Get Estimator Settings
estimator_settings
Estimator Settings
noise_acnv
Autocovariance Noise Variance
noise_nts
Noise to Signal Ratio
noise_rnv
Rescaled Noise Variance
noise_urnv
Unbiased Rescaled Noise Variance
noise_uznv
Uncertainty Zones Noise Variance
price
Get Asset Price
quarticity_mrq
Modulated Realized Quarticity
quarticity_mtq
Modulated Tripower Quarticity
quarticity_rq
Realized Quarticity
quarticity_rqq
Realized Quadpower Quarticity
quarticity_rtq
Realized Tripower Quarticity
variance_jrmrv
Jump Robust Modulated Realized Variance
variance_krv
Kernel Realized Variance
variance_mrv
Modulated Realized Variance
variance_msrv
Multiple Scales Realized Variance
variance_rv
Realized Variance
variance_tsrv
Two Scales Realized Variance
variance_uzrv
Uncertainty Zones Realized Variance

Files in this package

PortfolioEffectEstim
PortfolioEffectEstim/inst
PortfolioEffectEstim/inst/doc
PortfolioEffectEstim/inst/doc/PortfolioEffectEstim.pdf
PortfolioEffectEstim/inst/doc/PortfolioEffectEstim.Rnw
PortfolioEffectEstim/NAMESPACE
PortfolioEffectEstim/NEWS
PortfolioEffectEstim/R
PortfolioEffectEstim/R/onLoad.R
PortfolioEffectEstim/R/metrics.R
PortfolioEffectEstim/R/message.R
PortfolioEffectEstim/R/util.R
PortfolioEffectEstim/vignettes
PortfolioEffectEstim/vignettes/PortfolioEffectEstim.Rnw
PortfolioEffectEstim/MD5
PortfolioEffectEstim/build
PortfolioEffectEstim/build/vignette.rds
PortfolioEffectEstim/DESCRIPTION
PortfolioEffectEstim/man
PortfolioEffectEstim/man/estimator_getSettings.Rd
PortfolioEffectEstim/man/variance_mrv.Rd
PortfolioEffectEstim/man/estimator_defaultSettings.Rd
PortfolioEffectEstim/man/noise_nts.Rd
PortfolioEffectEstim/man/estimator-class.Rd
PortfolioEffectEstim/man/quarticity_rq.Rd
PortfolioEffectEstim/man/noise_rnv.Rd
PortfolioEffectEstim/man/variance_msrv.Rd
PortfolioEffectEstim/man/quarticity_mrq.Rd
PortfolioEffectEstim/man/noise_urnv.Rd
PortfolioEffectEstim/man/estimator_create.Rd
PortfolioEffectEstim/man/variance_tsrv.Rd
PortfolioEffectEstim/man/variance_krv.Rd
PortfolioEffectEstim/man/quarticity_rtq.Rd
PortfolioEffectEstim/man/variance_rv.Rd
PortfolioEffectEstim/man/noise_uznv.Rd
PortfolioEffectEstim/man/variance_uzrv.Rd
PortfolioEffectEstim/man/price.Rd
PortfolioEffectEstim/man/noise_acnv.Rd
PortfolioEffectEstim/man/quarticity_rqq.Rd
PortfolioEffectEstim/man/quarticity_mtq.Rd
PortfolioEffectEstim/man/estimator_settings.Rd
PortfolioEffectEstim/man/estimator_availableSymbols.Rd
PortfolioEffectEstim/man/variance_jrmrv.Rd