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:
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 05 Jun. 2026.
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

Today's Hot Picks in Authors and Packages

quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
crossurr  
Cross-Fitting for Doubly Robust Evaluation of High-Dimensional Surrogate Markers
Doubly robust methods for evaluating surrogate markers as outlined in: Agniel D, Hejblum BP, Thiebau ...
Download / Learn more Package Citations See dependency  
msm  
Multi-State Markov and Hidden Markov Models in Continuous Time
Functions for fitting continuous-time Markov and hidden Markov multi-state models to longitudinal d ...
Download / Learn more Package Citations See dependency  
ibb  
R Wrapper for Istanbul Municipality Open Data Portal
Call wrappers for Istanbul Metropolitan Municipality's Open Data Portal (Turkish: Istanbul B ...
Download / Learn more Package Citations See dependency  
envirem  
Generation of ENVIREM Variables
Generation of bioclimatic rasters that are complementary to the typical 19 bioclim variables. ...
Download / Learn more Package Citations See dependency  

27,268

R Packages

233,548

Dependencies

72,590

Author Associations

27,205

Publication Badges

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