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PortfolioEffectHFT (version 1.7)
High Frequency Portfolio Analytics by PortfolioEffect
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.