GetHFData : A R package for downloading and aggregating high frequency trading data from Bovespa

Bibliographic Details
Main Author: Perlin, Marcelo Scherer
Publication Date: 2016
Other Authors: Ramos, Henrique Pinto
Format: Article
Language: eng
Source: Repositório Institucional da UFRGS
Download full: http://hdl.handle.net/10183/179075
Summary: This paper introduces GetHFData, a R package for downloading, importing and aggregating high frequency trading data from the Brazilian nancial market. Based on a set of user choices, the package GetHFData will download the required les directly from Bovespa's site and aggregate the nancial data. The main objective of the publication of this software is to facilitate the computational e ort related to research based on this large nancial dataset and also to increase the reproducibility of studies by setting a replicable standard for data acquisition and processing. In this paper we present the available functions of the software, a brief description of the Brazilian market and several reproducible examples of usage.
id UFRGS-2_ef04087b361452dba6dd6a71a59570ab
oai_identifier_str oai:www.lume.ufrgs.br:10183/179075
network_acronym_str UFRGS-2
network_name_str Repositório Institucional da UFRGS
repository_id_str
spelling Perlin, Marcelo SchererRamos, Henrique Pinto2018-06-02T03:15:07Z20161679-0731http://hdl.handle.net/10183/179075001063643This paper introduces GetHFData, a R package for downloading, importing and aggregating high frequency trading data from the Brazilian nancial market. Based on a set of user choices, the package GetHFData will download the required les directly from Bovespa's site and aggregate the nancial data. The main objective of the publication of this software is to facilitate the computational e ort related to research based on this large nancial dataset and also to increase the reproducibility of studies by setting a replicable standard for data acquisition and processing. In this paper we present the available functions of the software, a brief description of the Brazilian market and several reproducible examples of usage.application/pdfengRevista brasileira de finanças. Rio de Janeiro. Vol. 14, n. 3 (July 2016), p. 443-478Mercado financeiroDados de alta frequênciaProcessamento de dadosHigh frequency dataBovespaMarket microstructureRReproducible researchGetHFData : A R package for downloading and aggregating high frequency trading data from Bovespainfo:eu-repo/semantics/articleinfo:eu-repo/semantics/otherinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRGSinstname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSORIGINAL001063643.pdf001063643.pdfTexto completo (inglês)application/pdf457352http://www.lume.ufrgs.br/bitstream/10183/179075/1/001063643.pdfc198e79d010b96350fc034ea0f7a9293MD51TEXT001063643.pdf.txt001063643.pdf.txtExtracted Texttext/plain66021http://www.lume.ufrgs.br/bitstream/10183/179075/2/001063643.pdf.txt71fd2b54894b0bf8c613942a68ed1e86MD5210183/1790752018-06-06 02:31:07.486789oai:www.lume.ufrgs.br:10183/179075Repositório de PublicaçõesPUBhttps://lume.ufrgs.br/oai/requestopendoar:2018-06-06T05:31:07Repositório Institucional da UFRGS - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.pt_BR.fl_str_mv GetHFData : A R package for downloading and aggregating high frequency trading data from Bovespa
title GetHFData : A R package for downloading and aggregating high frequency trading data from Bovespa
spellingShingle GetHFData : A R package for downloading and aggregating high frequency trading data from Bovespa
Perlin, Marcelo Scherer
Mercado financeiro
Dados de alta frequência
Processamento de dados
High frequency data
Bovespa
Market microstructure
R
Reproducible research
title_short GetHFData : A R package for downloading and aggregating high frequency trading data from Bovespa
title_full GetHFData : A R package for downloading and aggregating high frequency trading data from Bovespa
title_fullStr GetHFData : A R package for downloading and aggregating high frequency trading data from Bovespa
title_full_unstemmed GetHFData : A R package for downloading and aggregating high frequency trading data from Bovespa
title_sort GetHFData : A R package for downloading and aggregating high frequency trading data from Bovespa
author Perlin, Marcelo Scherer
author_facet Perlin, Marcelo Scherer
Ramos, Henrique Pinto
author_role author
author2 Ramos, Henrique Pinto
author2_role author
dc.contributor.author.fl_str_mv Perlin, Marcelo Scherer
Ramos, Henrique Pinto
dc.subject.por.fl_str_mv Mercado financeiro
Dados de alta frequência
Processamento de dados
topic Mercado financeiro
Dados de alta frequência
Processamento de dados
High frequency data
Bovespa
Market microstructure
R
Reproducible research
dc.subject.eng.fl_str_mv High frequency data
Bovespa
Market microstructure
R
Reproducible research
description This paper introduces GetHFData, a R package for downloading, importing and aggregating high frequency trading data from the Brazilian nancial market. Based on a set of user choices, the package GetHFData will download the required les directly from Bovespa's site and aggregate the nancial data. The main objective of the publication of this software is to facilitate the computational e ort related to research based on this large nancial dataset and also to increase the reproducibility of studies by setting a replicable standard for data acquisition and processing. In this paper we present the available functions of the software, a brief description of the Brazilian market and several reproducible examples of usage.
publishDate 2016
dc.date.issued.fl_str_mv 2016
dc.date.accessioned.fl_str_mv 2018-06-02T03:15:07Z
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/other
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10183/179075
dc.identifier.issn.pt_BR.fl_str_mv 1679-0731
dc.identifier.nrb.pt_BR.fl_str_mv 001063643
identifier_str_mv 1679-0731
001063643
url http://hdl.handle.net/10183/179075
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartof.pt_BR.fl_str_mv Revista brasileira de finanças. Rio de Janeiro. Vol. 14, n. 3 (July 2016), p. 443-478
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFRGS
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str Repositório Institucional da UFRGS
collection Repositório Institucional da UFRGS
bitstream.url.fl_str_mv http://www.lume.ufrgs.br/bitstream/10183/179075/1/001063643.pdf
http://www.lume.ufrgs.br/bitstream/10183/179075/2/001063643.pdf.txt
bitstream.checksum.fl_str_mv c198e79d010b96350fc034ea0f7a9293
71fd2b54894b0bf8c613942a68ed1e86
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
repository.name.fl_str_mv Repositório Institucional da UFRGS - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv
_version_ 1798487376191815680

Similar Items