[R-pkgs] PortfolioEffectHFT - High Frequency Portfolio Analytics
alexzemnitskiy at gmail.com
Wed Sep 30 22:26:55 CEST 2015
Dear R enthusiasts,
I would like to announce PortfolioEffectHFT package availability on CRAN:
It is an R interface to PortfolioEffect Quant service for backtesting high
frequency trading (HFT) strategies, intraday portfolio analysis and
optimization. PortfolioEffect is a cloud-based service, which is free to
use with your own market data, but also has an integrated (optional) access
to high frequency prices for all major US Equities (8,000+ symbols).
- Auto-calibrating model pipeline for market microstructure noise, risk
factors, price jumps/outliers, tail risk (high-order moments), price
fractality (long memory) and was designed to give tick-resolution
- Over 40+ portfolio and position-level metrics to compute intraday risk
and performance from modern and post-modern portfolio theory.
- Single-period constraint portfolio optimization (classic Markowitz and
extensions for tail risk) with scalar, vector-based and user-defined
- Multi-period constraint portfolio optimization that accounts for previous
portfolio rebalancing (trading strategy optimization).
- Transactional costs were also implemented in this release.
More details in the package manual:
Or on the website (nightly builds and latest updates):
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