PortfolioEffectEstim (version 1.4)
High Frequency Price Estimators by PortfolioEffect
Description
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.