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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.
Package details |
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Author | Andrey Kostin [aut, cre], Aleksey Zemnitskiy [aut], Oleg Nechaev [aut] |
Maintainer | Andrey Kostin <andrey.kostin@portfolioeffect.com> |
License | GPL-3 |
Version | 1.4 |
URL | https://www.portfolioeffect.com/ |
Package repository | View on CRAN |
Installation |
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