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

Brazilian Review of Finance

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Title GetHFData: A R package for downloading and aggregating high frequency trading data from Bovespa
 
Creator Perlin, Marcelo Scherer; UFRGS
Ramos, Henrique P.; UFRGS
 
Subject Finance; Economics, Statistics; Econometrics
high frequency data, Bovespa, market microstructure, R, reproducible research
G10, G20
 
Description This paper introduces GetHFData, a R package for downloading, importing and aggregating high frequency trading data from the Brazilian financial market. Based on a set of user choices, the package GetHFData will download the required files directly from Bovespa’s ftp site and aggregate the financial data. The main objective of the publication of this software is to facilitate the computational effort related to research based on this large financial 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.
 
Publisher Link to the Brazilian Society of Finance
 
Contributor —
 
Date 2016-07-26
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Double blind reviewed articles
Empirical
Avaliado por Pares
 
Format application/pdf
application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/64587
10.12660/rbfin.v14n3.2016.64587
 
Source Brazilian Review of Finance; Vol 14, No 3 (2016); 443-478
Revista Brasileira de Finanças; Vol 14, No 3 (2016); 443-478
1984-5146
1679-0731
 
Language eng
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/64587/65701
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/64587/65702
 
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