PortfolioEffectEstim

High Frequency Price Estimators by PortfolioEffect

CRAN Package

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 for more information on the PortfolioEffect high frequency portfolio analytics platform.

  • Version1.4
  • R versionunknown
  • LicenseGPL-3
  • Needs compilation?No
  • Last release09/17/2016

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  • Depends2 packages
  • Imports1 package