[R-SIG-Finance] high frequency data analysis in R

Michael comtech.usa at gmail.com
Thu May 21 17:04:14 CEST 2009

Hi all,

I am wondering if there are some special toolboxes to handle high
frequency data in R?

I have some high frequency data and was wondering what meaningful
experiments can I run on these high frequency data.

Not sure if normal (low frequency) financial time series textbook data
analysis tools will work for high frequency data?

Let's say I run a correlation between two stocks using the high
frequency data, or run an ARMA model on one stock, will the results be

Could anybody point me some classroom types of treatment or lab
tutorial type of document which show me what meaningful
experiments/tests I can run on high frequency data?

Thanks a lot!

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