R (>= 3.3.0), zoo, xts (>= 0.10-1), foreach,
PerformanceAnalytics (>= 1.5.1)

High Frequency Price Estimators by PortfolioEffect
c(person("Andrey", "Kostin", role = c("aut", "cre"),
email = "andrey.kostin@portfolioeffect.com"),
person("Aleksey", "Zemnitskiy", role = c("aut")),
person("Oleg", "Nechaev", role = c("aut"))
)
R interface to PortfolioEffect Quant service for estimating
high frequency price variance, quarticity, microstructure noise variance,
and other metrics in both aggregate and rolling window flavors.
Constructed estimators 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.
Andrey Kostin [aut, cre],
Aleksey Zemnitskiy [aut],
Oleg Nechaev [aut]

R interface to PortfolioEffect cloud service for estimating
high frequency price variance, quarticity, microstructure noise variance,
and other metrics in both aggregate and rolling window flavors.
Constructed estimators 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.

R interface to PortfolioEffect cloud service for estimating
high frequency price variance, quarticity, microstructure noise variance,
and other metrics in both aggregate and rolling window flavors.
Constructed estimators 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.

High Frequency Portfolio Analytics by PortfolioEffect
R (>= 2.13.2), methods, grid, ggplot2, rJava
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")
)
R interface to PortfolioEffect Quant 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 [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)