Alexey Zemnitskiy
2015-Sep-30 20:26 UTC
[R-pkgs] PortfolioEffectHFT - High Frequency Portfolio Analytics
Dear R enthusiasts, I would like to announce PortfolioEffectHFT package availability on CRAN: https://cran.r-project.org/web/packages/PortfolioEffectHFT/ 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). Package features: - 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 analytics. - 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 functional constraints. - 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: https://cran.r-project.org/web/packages/PortfolioEffectHFT/vignettes/PortfolioEffectHFT.pdf Or on the website (nightly builds and latest updates): https://www.portfolioeffect.com/docs/platform/quant/ Sincerely, Aleksey Zemnitskiy [[alternative HTML version deleted]]