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]|
|Maintainer||Andrey Kostin <firstname.lastname@example.org>|
|Package repository||View on CRAN|
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