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

dc.creatorPerlin, Marcelo Scherer
dc.creatorRamos, Henrique P.
dc.date2016-07-26
dc.date.accessioned2022-11-03T20:59:26Z
dc.date.available2022-11-03T20:59:26Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/64587
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5044585
dc.descriptionThis 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.en-US
dc.formatapplication/pdf
dc.formatapplication/pdf
dc.languageeng
dc.publisherLociedade Brasileira de Finançasen-US
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/64587/65701
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/64587/65702
dc.rightsCopyright (c) 2017 Revista Brasileira de Finançaspt-BR
dc.sourceBrazilian Review of Finance; Vol. 14 No. 3 (2016); 443-478en-US
dc.sourceRevista Brasileira de Finanças; v. 14 n. 3 (2016); 443-478pt-BR
dc.source1984-5146
dc.source1679-0731
dc.subjecthigh frequency dataen-US
dc.subjectBovespaen-US
dc.subjectmarket microstructureen-US
dc.subjectRen-US
dc.subjectreproducible researchen-US
dc.subjectG10en-US
dc.subjectG20en-US
dc.titleGetHFData: A R package for downloading and aggregating high frequency trading data from Bovespaen-US
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion
dc.typeDouble blind reviewed articlesen-US
dc.typeEmpiricalen-US
dc.typeAvaliado por Parespt-BR


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