PortfolioEffectEstim (1.4)

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

Maintainer: Andrey Kostin
Author(s): Andrey Kostin [aut, cre], Aleksey Zemnitskiy [aut], Oleg Nechaev [aut]

License: GPL-3

Uses: rJava

Released over 3 years ago.

4 previous versions



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