PortfolioEffectHFT
High Frequency Portfolio Analytics by PortfolioEffect
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
- Version1.8
- R version≥ 2.13.2
- LicenseGPL-3
- Needs compilation?No
- Last release03/24/2017
Documentation
Team
Andrey Kostin
Aleksey Zemnitskiy
Show author detailsRolesAuthorOleg Nechaev
Show author detailsRolesAuthorCraig Otis
others
Show author detailsRolesContributor, Copyright holderDaniel Lemire
Muraoka Taro
others
Show author detailsRolesContributor, Copyright holderJoe Walnes
Jorg Schaible
others
Show author detailsRolesContributor, Copyright holderDain Sundstrom
Show author detailsRolesContributor, Copyright holderExtreme! Lab
Indiana University
Show author detailsRolesContributor, Copyright holderThe Apache Software Foundation
Show author detailsRolesContributor, Copyright holderGoogle
Inc.
Show author detailsRolesContributor, Copyright holderFree Software Foundation
Show author detailsRolesContributor, Copyright holder
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- Depends2 packages
- Imports4 packages
- Suggests1 package
- Reverse Depends1 package