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 <https://www.portfolioeffect.com/> for more information on the PortfolioEffect high frequency portfolio analytics platform.

Version: 1.8
Depends: R (≥ 2.13.2), ggplot2 (≥ 2.2.0)
Imports: methods, rJava, grid, zoo
Suggests: testthat
Published: 2017-03-24
Author: Andrey 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)
Maintainer: Andrey Kostin <andrey.kostin at portfolioeffect.com>
License: GPL-3
Copyright: See file COPYRIGHTS
PortfolioEffectHFT copyright details
URL: https://www.portfolioeffect.com/
NeedsCompilation: no
SystemRequirements: Java (>= 1.7)
Materials: NEWS
In views: Finance
CRAN checks: PortfolioEffectHFT results

Downloads:

Reference manual: PortfolioEffectHFT.pdf
Vignettes: PorfolioEffectHFT package
Package source: PortfolioEffectHFT_1.8.tar.gz
Windows binaries: r-devel: PortfolioEffectHFT_1.7.zip, r-release: PortfolioEffectHFT_1.8.zip, r-oldrel: PortfolioEffectHFT_1.8.zip
OS X Mavericks binaries: r-release: PortfolioEffectHFT_1.8.tgz, r-oldrel: PortfolioEffectHFT_1.8.tgz
Old sources: PortfolioEffectHFT archive

Reverse dependencies:

Reverse depends: PortfolioEffectEstim

Linking:

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