optimizer-class


Class for storing optimization goals and constraints.


classes

PortfolioEffectHFT

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.

Aleksey Zemnitskiy

High Frequency Portfolio Analytics by PortfolioEffect

optimizer-class function

<dl>
    <dt><code>java</code>:</dt><dd>Object of class <code>"jobjRef"</code> ~~ </dd> <dt><code>portfolio</code>:</dt><dd>Object of class <code>"jobjRef"</code> ~~ </dd> <dt><code>errorInDecimalPoints</code>:</dt><dd>Object of class <code>"numeric"</code> ~~ </dd> <dt><code>globalOptimumProbability</code>:</dt><dd>Object of class <code>"numeric"</code> ~~ </dd> <dt><code>constraintMerticFunctions</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>constraintTypeFunctions</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>functions</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>constraintConfidenceIntervalFunctions</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>constraintSymbolsFunctions</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>constraintMerticSimple</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>constraintTypeSimple</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>constraintValueSimple</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>constraintConfidenceInterval</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>constraintSymbols</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>portfolioValue</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>goal</code>:</dt><dd>Object of class <code>"character"</code> ~~ </dd> <dt><code>direction</code>:</dt><dd>Object of class <code>"character"</code> ~~ </dd> <dt><code>confidenceInterval</code>:</dt><dd>Object of class <code>"numeric"</code> ~~ </dd> <dt><code>forecastedValueLists</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>forecastExponentialWindow</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>forecastType</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>forecastTimeStep</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> <dt><code>forecastPortfolioWindow</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> </dl> 

optimizer-class: Class `"optimizer"`

Description

Arguments

Slots

Examples