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S-PLUS Product Family Provides Flexible Data Analysis Solution for High-frequency Financial Data
Date: March 16, 2004 at 8:30AM Pacific Time
Presenter: Dr. Eric Zivot, Associate Professor,
Gary Waterman Distinguished Scholar, Economics Department,
University of Washington
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to the archived webcast.
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Abstract
More and more, academic researchers who study financial
markets and practioners in the finance industry are using
high frequency financial data. Such data is used for modeling
the market dynamics to support real time or near real-time
trading, transaction cost and price impact modeling, as
well as market microstructure issues such as price discovery,
competition among related markets and the strategic behavior
of market participants. With the availability of high
frequency financial databases (e.g. the Trades and Quotes
(TAQ) equity transactions database of the NYSE for equity,
and the Olsen and Associates indicative quote database
for foreign exchange) has come the need for new tools
to summarize and analyze high frequency financial data.
The unique characteristics of high frequency financial
data (large volumes of data, data errors, irregularly
spacing, strong seasonality, discrete movements) substantially
complicate the process of econometric and statistical
analysis, and typical statistical and econometric software
do not contain the tools necessary to properly handle
and analyze high frequency data. S-PLUS, with it rich
and flexible object oriented statistical modeling language,
time and date handling and graphical facilities, is ideally
suited for the analysis of high frequency data. In this
presentation, Dr. Zivot will show how S-PLUS and S+FinMetrics
can be used for summarizing and analyzing high frequency
financial data.
Topics that will be addressed in this webcast include
-
S-PLUS time series and time date
objects
-
Graphical analysis
-
Creating market variables
-
Descriptive analysis
-
Modeling seasonality
Presenter Information
Dr. Eric Zivot is an Associate Professor and Gary
Waterman Distinguished Scholar in the Economics Department
at the University of Washington. He is co-author of
the book Modeling Financial Time Series Using S-PLUS,
and he is co-director of the nascent Professional
M.S. Program in Computational Finance at the University
of Washington.
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