R package PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect. 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.

Keywords for this software

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