https://github.com/cran/PortfolioEffectHFT
Tip revision: 8b95c83743fc1c05f4c991161366c97ae1c52d02 authored by Aleksey Zemnitskiy on 17 July 2016, 16:21:37 UTC
version 1.6
version 1.6
Tip revision: 8b95c83
DESCRIPTION
Package: PortfolioEffectHFT
Type: Package
Title: High Frequency Portfolio Analytics by PortfolioEffect
Version: 1.6
Date: 2016-07-15
URL: https://www.portfolioeffect.com/
Depends: R (>= 2.13.2), ggplot2 (>= 2.0.0)
Imports: methods, rJava, grid
SystemRequirements: Java (>= 1.7)
LazyData: yes
ByteCompile: TRUE
Authors@R: c(person("Aleksey", "Zemnitskiy", role = c("aut", "cre"),
email = "aleksey.zemnitskiy@portfolioeffect.com"),
person("Andrey", "Kostin", role = c("aut")),
person("Oleg", "Nechaev", role = c("aut")),
person("Craig Otis and others", role = c("ctb", "cph"),
comment = "OpenFAST library"),
person("Daniel Lemire, Muraoka Taro and others",
role = c("ctb", "cph"),
comment = "JavaFastPFOR library"),
person("Joe Walnes, Jorg Schaible and others",
role = c("ctb", "cph"),
comment = "XStream library"),
person("Dain Sundstrom",
role = c("ctb", "cph"),
comment = "Snappy library"),
person("Extreme! Lab, Indiana University",
role = c("ctb", "cph"),
comment = "XPP3 library"),
person("The Apache Software Foundation",
role = c("ctb", "cph"),
comment = "Apache Log4j and Commons Lang libraries"),
person("Google, Inc.",
role = c("ctb", "cph"),
comment = "GSON library"),
person("Free Software Foundation",
role = c("ctb", "cph"),
comment = "GNU Trove and GNU Crypto libraries")
)
Maintainer: Aleksey Zemnitskiy <aleksey.zemnitskiy@portfolioeffect.com>
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 https://www.portfolioeffect.com/
for more information on the PortfolioEffect high frequency portfolio
analytics platform.
License: GPL-3
Copyright: See file COPYRIGHTS
NeedsCompilation: no
Repository: CRAN
Packaged: 2016-02-01 18:14:54 UTC; alex
Author: Aleksey Zemnitskiy [aut, cre],
Andrey Kostin [aut],
Oleg Nechaev [aut],
Craig Otis and others [ctb, cph] (OpenFAST library),
Daniel Lemire, Muraoka Taro and others [ctb, cph] (JavaFastPFOR
library),
Joe Walnes, Jorg Schaible and others [ctb, cph] (XStream library),
Dain Sundstrom [ctb, cph] (Snappy library),
Extreme! Lab, Indiana University [ctb, cph] (XPP3 library),
The Apache Software Foundation [ctb, cph] (Apache Log4j and Commons
Lang libraries),
Google, Inc. [ctb, cph] (GSON library),
Free Software Foundation [ctb, cph] (GNU Trove and GNU Crypto
libraries)
Date/Publication: 2016-07-17 16:21:37