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.

Version: 1.4
Depends: methods, PortfolioEffectHFT (≥ 1.7)
Imports: rJava
Published: 2016-09-17
Author: Andrey Kostin [aut, cre], Aleksey Zemnitskiy [aut], Oleg Nechaev [aut]
Maintainer: Andrey Kostin <andrey.kostin at portfolioeffect.com>
License: GPL-3
URL: https://www.portfolioeffect.com/
NeedsCompilation: no
SystemRequirements: Java (>= 1.7)
Materials: NEWS
CRAN checks: PortfolioEffectEstim results


Reference manual: PortfolioEffectEstim.pdf
Vignettes: PorfolioEffectEstim package
Package source: PortfolioEffectEstim_1.4.tar.gz
Windows binaries: r-devel: PortfolioEffectEstim_1.4.zip, r-release: PortfolioEffectEstim_1.4.zip, r-oldrel: PortfolioEffectEstim_1.4.zip
OS X El Capitan binaries: r-release: PortfolioEffectEstim_1.4.tgz
OS X Mavericks binaries: r-oldrel: PortfolioEffectEstim_1.4.tgz
Old sources: PortfolioEffectEstim archive


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