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.

AuthorAndrey Kostin [aut, cre], Aleksey Zemnitskiy [aut], Oleg Nechaev [aut]
Date of publication2016-09-17 19:54:52
MaintainerAndrey Kostin <andrey.kostin@portfolioeffect.com>
LicenseGPL-3
Version1.4
https://www.portfolioeffect.com/

View on CRAN

Functions

estimator_availableSymbols Man page
estimator-class Man page
estimator_create Man page
estimator_defaultSettings Man page
estimator_getSettings Man page
estimator_settings Man page
noise_acnv Man page
noise_nts Man page
noise_rnv Man page
noise_urnv Man page
noise_uznv Man page
price Man page
quarticity_mrq Man page
quarticity_mtq Man page
quarticity_rq Man page
quarticity_rqq Man page
quarticity_rtq Man page
variance_jrmrv Man page
variance_jrmrvRolling Man page
variance_krv Man page
variance_krvRolling Man page
variance_mrv Man page
variance_mrvRolling Man page
variance_msrv Man page
variance_msrvRolling Man page
variance_rv Man page
variance_rvRolling Man page
variance_tsrv Man page
variance_tsrvRolling Man page
variance_uzrv Man page

Files

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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