Analyzing intraday financial data in R : the highfrequency package
- Author
- Kris Boudt (UGent) , Onno Kleen and Emil Sjørup
- Organization
- Abstract
- The highfrequency package for the R programming language provides functionality for pre-pro cessing financial high-frequency data, analyzing intraday stock returns, and forecasting stock market volatility. For academics and practitioners alike, it provides a tool chain required to work with such datasets and to conduct statistical analyses dedicated to spot volatility, jumps, realized measures, and many more. We showcase our implemented routines and models on raw high-frequency data from large stock exchanges.
- Keywords
- Statistics, Probability and Uncertainty, Statistics and Probability, Software
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Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-8771425
- MLA
- Boudt, Kris, et al. “Analyzing Intraday Financial Data in R : The Highfrequency Package.” JOURNAL OF STATISTICAL SOFTWARE, vol. 104, no. 8, 2022, pp. 1–36, doi:10.18637/jss.v104.i08.
- APA
- Boudt, K., Kleen, O., & Sjørup, E. (2022). Analyzing intraday financial data in R : the highfrequency package. JOURNAL OF STATISTICAL SOFTWARE, 104(8), 1–36. https://doi.org/10.18637/jss.v104.i08
- Chicago author-date
- Boudt, Kris, Onno Kleen, and Emil Sjørup. 2022. “Analyzing Intraday Financial Data in R : The Highfrequency Package.” JOURNAL OF STATISTICAL SOFTWARE 104 (8): 1–36. https://doi.org/10.18637/jss.v104.i08.
- Chicago author-date (all authors)
- Boudt, Kris, Onno Kleen, and Emil Sjørup. 2022. “Analyzing Intraday Financial Data in R : The Highfrequency Package.” JOURNAL OF STATISTICAL SOFTWARE 104 (8): 1–36. doi:10.18637/jss.v104.i08.
- Vancouver
- 1.Boudt K, Kleen O, Sjørup E. Analyzing intraday financial data in R : the highfrequency package. JOURNAL OF STATISTICAL SOFTWARE. 2022;104(8):1–36.
- IEEE
- [1]K. Boudt, O. Kleen, and E. Sjørup, “Analyzing intraday financial data in R : the highfrequency package,” JOURNAL OF STATISTICAL SOFTWARE, vol. 104, no. 8, pp. 1–36, 2022.
@article{8771425,
abstract = {{The highfrequency package for the R programming language provides functionality for pre-pro cessing financial high-frequency data, analyzing intraday stock returns, and forecasting stock market volatility. For academics and practitioners alike, it provides a tool chain required to work with such datasets and to conduct statistical analyses dedicated to spot volatility, jumps, realized measures, and many more. We showcase our implemented routines and models on raw high-frequency data from large stock exchanges.}},
author = {{Boudt, Kris and Kleen, Onno and Sjørup, Emil}},
issn = {{1548-7660}},
journal = {{JOURNAL OF STATISTICAL SOFTWARE}},
keywords = {{Statistics,Probability and Uncertainty,Statistics and Probability,Software}},
language = {{eng}},
number = {{8}},
pages = {{1--36}},
title = {{Analyzing intraday financial data in R : the highfrequency package}},
url = {{http://doi.org/10.18637/jss.v104.i08}},
volume = {{104}},
year = {{2022}},
}
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