Analyzing intraday financial data in R: The highfrequency package

37 Pages Posted: 7 Sep 2021

See all articles by Kris Boudt

Kris Boudt

Ghent University; Vrije Universiteit Brussel; Vrije Universiteit Amsterdam

Onno Kleen

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Emil Sjørup

affiliation not provided to SSRN

Date Written: September 4, 2021

Abstract

The highfrequency package for the R programming language provides functionality for pre-processing 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 US-American stock exchanges.

Keywords: financial markets, high-frequency data, realized measures, jumps, R

JEL Classification: C53, C58, G12

Suggested Citation

Boudt, Kris and Kleen, Onno and Sjørup, Emil, Analyzing intraday financial data in R: The highfrequency package (September 4, 2021). Available at SSRN: https://ssrn.com/abstract=3917548 or http://dx.doi.org/10.2139/ssrn.3917548

Kris Boudt (Contact Author)

Ghent University ( email )

Sint-Pietersplein 5
Gent, 9000
Belgium

Vrije Universiteit Brussel ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Vrije Universiteit Amsterdam ( email )

De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands

Onno Kleen

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

Emil Sjørup

affiliation not provided to SSRN

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