In this paper we deal with the problem of visualizing and exploring specific financial time series such as high-frequency financial data. These data present unique features, absent in classical time series, which involve the necessity of searching and analysing an aggregate behaviour. Here we propose a comparison among different graphical tools, with real and simulated examples, and we discuss the advantages of using Beanplot time series instead of scalar time series when the data show a complex structure. A generalization of these tools is also suggested as interpretation tool in several real contexts such as statistical arbitrage or risk analysis.

Visualizing and exploring high frequency financial data: beanplot time series / Drago, Carlo; Scepi, Germana. - New Perspectives in Statistical Modeling and Data Analysis:(2011), pp. 283-291.

Visualizing and exploring high frequency financial data: beanplot time series

DRAGO, CARLO;SCEPI, GERMANA
2011

Abstract

In this paper we deal with the problem of visualizing and exploring specific financial time series such as high-frequency financial data. These data present unique features, absent in classical time series, which involve the necessity of searching and analysing an aggregate behaviour. Here we propose a comparison among different graphical tools, with real and simulated examples, and we discuss the advantages of using Beanplot time series instead of scalar time series when the data show a complex structure. A generalization of these tools is also suggested as interpretation tool in several real contexts such as statistical arbitrage or risk analysis.
2011
9783642113628
Visualizing and exploring high frequency financial data: beanplot time series / Drago, Carlo; Scepi, Germana. - New Perspectives in Statistical Modeling and Data Analysis:(2011), pp. 283-291.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/372636
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