PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect
Version 1.8

R interface to PortfolioEffect cloud service for backtesting high frequency trading (HFT) strategies, intraday portfolio analysis and optimization. Includes auto-calibrating model pipeline for market microstructure noise, risk factors, price jumps/outliers, tail risk (high-order moments) and price fractality (long memory). Constructed portfolios could use client-side market data or access HF intraday price history for all major US Equities. See for more information on the PortfolioEffect high frequency portfolio analytics platform.

Package details

AuthorAndrey Kostin [aut, cre], Aleksey Zemnitskiy [aut], Oleg Nechaev [aut], Craig Otis and others [ctb, cph] (OpenFAST library), Daniel Lemire, Muraoka Taro and others [ctb, cph] (JavaFastPFOR library), Joe Walnes, Jorg Schaible and others [ctb, cph] (XStream library), Dain Sundstrom [ctb, cph] (Snappy library), Extreme! Lab, Indiana University [ctb, cph] (XPP3 library), The Apache Software Foundation [ctb, cph] (Apache Log4j and Commons Lang libraries), Google, Inc. [ctb, cph] (GSON library), Free Software Foundation [ctb, cph] (GNU Trove and GNU Crypto libraries)
Date of publication2017-03-24 19:54:25 UTC
MaintainerAndrey Kostin <andrey.kostin@portfolioeffect.com>
LicenseGPL-3
Version1.8
URL https://www.portfolioeffect.com/
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("PortfolioEffectHFT")

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PortfolioEffectHFT documentation built on May 30, 2017, 3:08 a.m.