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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
www.portfolioeffect.com/ | |
Copyright | See file COPYRIGHTS PortfolioEffectHFT copyright details |
System requirements | Java (>= 1.7) |
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