portfolio-class

plot,portfolio,missing-method

portfolio_addPosition,portfolio,character,ANY,ANY,matrix-method

portfolio_addPosition,portfolio,character,ANY,ANY,missing-method

portfolio_addPosition,portfolio,character,ANY,missing,matrix-method

portfolio_addPosition,portfolio,character,ANY,missing,missing-method

portfolio_create,portfolio,missing,missing,missing-method

show,portfolio-method

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

portfolio-class function

<dl>
    <dt><code>java</code>:</dt><dd>Object of class <code>"jobjRef"</code> ~~ </dd> <dt><code>optimization_info</code>:</dt><dd>Object of class <code>"ANY"</code> ~~ </dd> </dl> 

Slots

<dl>
    <dt>plot</dt><dd><code>signature(x = "portfolio", y = "missing")</code>: ... </dd> <dt>portfolio_addPosition</dt><dd><code>signature(portfolio = "portfolio",
     symbol = "character", quantity = "ANY", time = "ANY", priceData = "matrix")</code>: ... </dd> <dt>portfolio_addPosition</dt><dd><code>signature(portfolio = "portfolio",
     symbol = "character", quantity = "ANY", time = "ANY", priceData = "missing")</code>: ... </dd> <dt>portfolio_addPosition</dt><dd><code>signature(portfolio = "portfolio",
     symbol = "character", quantity = "ANY", time = "missing", priceData = "matrix")</code>: ... </dd> <dt>portfolio_addPosition</dt><dd><code>signature(portfolio = "portfolio",
     symbol = "character", quantity = "ANY", time = "missing", priceData = "missing")</code>: ... </dd> <dt>show</dt><dd><code>signature(object = "portfolio")</code>: ... </dd> </dl> 

Methods

Class <code>"portfolio"</code>

portfolio-class: Class `"portfolio"`

Description

Arguments

Slots

Methods

Examples