PortfolioEffectEstim: High Frequency Price Estimators by PortfolioEffect

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.

Package details

AuthorAndrey Kostin [aut, cre], Aleksey Zemnitskiy [aut], Oleg Nechaev [aut]
MaintainerAndrey Kostin <andrey.kostin@portfolioeffect.com>
URL https://www.portfolioeffect.com/
Package repositoryView on CRAN
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PortfolioEffectEstim documentation built on May 2, 2019, 8:50 a.m.