Other packages > Find by keyword >

PortfolioEffectHFT  

High Frequency Portfolio Analytics by PortfolioEffect
View on CRAN: Click here


Download and install PortfolioEffectHFT package within the R console
Install from CRAN:
install.packages("PortfolioEffectHFT")

Install from Github:
library("remotes")
install_github("cran/PortfolioEffectHFT")

Install by package version:
library("remotes")
install_version("PortfolioEffectHFT", "1.8")



Attach the package and use:
library("PortfolioEffectHFT")
Maintained by
Andrey Kostin
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2015-09-29
Latest Update: 2023-04-28
Description:
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 for more information on the PortfolioEffect high frequency portfolio analytics platform.
How to cite:
Andrey Kostin (2015). PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect. R package version 1.8, https://cran.r-project.org/web/packages/PortfolioEffectHFT. Accessed 28 Mar. 2025.
Previous versions and publish date:
1.2 (2015-09-29 17:33), 1.3 (2015-11-10 18:14), 1.4 (2015-12-18 06:43), 1.5 (2016-02-01 22:02), 1.6 (2016-07-17 16:21), 1.7 (2016-09-17 07:12), 1.8 (2017-03-24 20:54)
Other packages that cited PortfolioEffectHFT R package
View PortfolioEffectHFT citation profile
Other R packages that PortfolioEffectHFT depends, imports, suggests or enhances
Functions, R codes and Examples using the PortfolioEffectHFT R package
Some associated functions: aapl.data . alpha_exante . alpha_jensens . beta . calmar_ratio . compute . correlation . covariance . create_metric . cumulant . dist_density . down_capture_ratio . down_number_ratio . down_percentage_ratio . downside_variance . expected_downside_return . expected_return . expected_shortfall . expected_upside_return . forecast-class . forecast_apply . forecast_builder . forecast_input . fractal_dimension . gain_loss_variance_ratio . gain_variance . hurst_exponent . information_ratio . kurtosis . log_return . loss_variance . max_drawdown . metric-class . mod_sharpe_ratio . moment . omega_ratio . optimization_constraint . optimization_forecast . optimization_goal . optimization_info . optimization_run . optimizer-class . portfolio-class . portfolioPlot-class . portfolio_availableSymbols . portfolio_create . portfolio_defaultSettings . portfolio_getPosition . portfolio_getSettings . portfolio_settings . position-class . position_add . position_list . position_remove . price . profit . quantity . rachev_ratio . return_autocovariance . return_jump_size . set_quantity . sharpe_ratio . skewness . sortino_ratio . starr_ratio . treynor_ratio . txn_costs . up_capture_ratio . up_number_ratio . up_percentage_ratio . upside_downside_variance_ratio . upside_variance . util_POSIXTimeToDate . util_cleanCredentials . util_colorScheme . util_dateToPOSIXTime . util_fillScheme . util_getComputeTime . util_ggplot . util_line2d . util_multiplot . util_plot2d . util_plot2df . util_plotDensity . util_plotTheme . util_setCredentials . value . value_at_risk . variance . weight . weight_transform . 
Some associated R codes: forecast.R . message.R . metric.R . onLoad.R . optimization.R . plot.R . portfolio.R . position.R . util.R .  Full PortfolioEffectHFT package functions and examples
Downloads during the last 30 days
02/2603/0403/0503/1203/1303/1503/21Downloads for PortfolioEffectHFT02468101214161820222426TrendBars

Today's Hot Picks in Authors and Packages

pleiotest  
Fast Sequential Pleiotropy Test
It performs a fast multi-trait genome-wide association analysis based on seemingly unrelated regress ...
Download / Learn more Package Citations See dependency  
r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
FuzzyResampling  
Resampling Methods for Triangular and Trapezoidal Fuzzy Numbers
The classical (i.e. Efron's, see Efron and Tibshirani (1994, ISBN:978-0412042317) "An Introduction ...
Download / Learn more Package Citations See dependency  
spinifex  
Manual Tours, Manual Control of Dynamic Projections of Numeric Multivariate Data
Data visualization tours animates linear projection of multivariate data as its basis (ie. orientat ...
Download / Learn more Package Citations See dependency  
gripp  
General Inverse Problem Platform
Set of functions designed to solve inverse problems. The direct problem is used to calculate a cost ...
Download / Learn more Package Citations See dependency  
transfR  
Transfer of Hydrograph from Gauged to Ungauged Catchments
A geomorphology-based hydrological modelling for transferring streamflow measurements from gauged to ...
Download / Learn more Package Citations See dependency  

23,842

R Packages

207,311

Dependencies

64,420

Author Associations

23,781

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA