The Analysis of High-Frequency Finance Data using ROOT

Philippe Debie; Marjolein Verhulst; Joost Pennings; Bedir Tekirnerdogan; C Catal; Axel Naumann; S Demirel; Lorenzo Moneta; Tarek Alskaif; Jonas Rembser; Paul A. M. van Leeuwen

doi:10.1088/1742-6596/2438/1/012068

The Analysis of High-Frequency Finance Data using ROOT

Philippe Debie^*, Marjolein Verhulst, Joost Pennings, Bedir Tekirnerdogan, C Catal, Axel Naumann, S Demirel, Lorenzo Moneta, Tarek Alskaif, Jonas Rembser, Paul A. M. van Leeuwen

^*Corresponding author for this work

Research output: Contribution to journal › Conference article in journal › Academic › peer-review

Abstract

High-frequency financial market data is conceptually distinct from high energy physics (HEP) data. Market data is a time series generated by market participants, while HEP data is a set of independent events generated by collisions between particles. However, there are similarities within the data structure and required tools for data analysis, and both fields share a similar set of problems facing the increasing size of data generated. This paper describes some of the core concepts of financial markets, discusses the data similarities and differences with HEP, and provides an implementation to use ROOT, an open-source data analysis framework in HEP, with financial market data. This implementation makes it possible to take advantage of the rich set of features available in ROOT and extends research in finance.

Original language	English
Article number	012068
Number of pages	6
Journal	Journal of Physics: Conference Series
Volume	2438
DOIs	https://doi.org/10.1088/1742-6596/2438/1/012068
Publication status	Published - 2023

Keywords

physics
finance
High energy astrophysics

Access to Document

10.1088/1742-6596/2438/1/012068Licence: CC BY

Cite this

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title = "The Analysis of High-Frequency Finance Data using ROOT",

abstract = "High-frequency financial market data is conceptually distinct from high energy physics (HEP) data. Market data is a time series generated by market participants, while HEP data is a set of independent events generated by collisions between particles. However, there are similarities within the data structure and required tools for data analysis, and both fields share a similar set of problems facing the increasing size of data generated. This paper describes some of the core concepts of financial markets, discusses the data similarities and differences with HEP, and provides an implementation to use ROOT, an open-source data analysis framework in HEP, with financial market data. This implementation makes it possible to take advantage of the rich set of features available in ROOT and extends research in finance.",

keywords = "physics, finance, High energy astrophysics",

author = "Philippe Debie and Marjolein Verhulst and Joost Pennings and Bedir Tekirnerdogan and C Catal and Axel Naumann and S Demirel and Lorenzo Moneta and Tarek Alskaif and Jonas Rembser and {van Leeuwen}, {Paul A. M.}",

note = "data source: CERN",

year = "2023",

doi = "10.1088/1742-6596/2438/1/012068",

language = "English",

volume = "2438",

journal = "Journal of Physics: Conference Series",

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T1 - The Analysis of High-Frequency Finance Data using ROOT

AU - Debie, Philippe

AU - Verhulst, Marjolein

AU - Pennings, Joost

AU - Tekirnerdogan, Bedir

AU - Catal, C

AU - Naumann, Axel

AU - Demirel, S

AU - Moneta, Lorenzo

AU - Alskaif, Tarek

AU - Rembser, Jonas

AU - van Leeuwen, Paul A. M.

N1 - data source: CERN

PY - 2023

Y1 - 2023

N2 - High-frequency financial market data is conceptually distinct from high energy physics (HEP) data. Market data is a time series generated by market participants, while HEP data is a set of independent events generated by collisions between particles. However, there are similarities within the data structure and required tools for data analysis, and both fields share a similar set of problems facing the increasing size of data generated. This paper describes some of the core concepts of financial markets, discusses the data similarities and differences with HEP, and provides an implementation to use ROOT, an open-source data analysis framework in HEP, with financial market data. This implementation makes it possible to take advantage of the rich set of features available in ROOT and extends research in finance.

AB - High-frequency financial market data is conceptually distinct from high energy physics (HEP) data. Market data is a time series generated by market participants, while HEP data is a set of independent events generated by collisions between particles. However, there are similarities within the data structure and required tools for data analysis, and both fields share a similar set of problems facing the increasing size of data generated. This paper describes some of the core concepts of financial markets, discusses the data similarities and differences with HEP, and provides an implementation to use ROOT, an open-source data analysis framework in HEP, with financial market data. This implementation makes it possible to take advantage of the rich set of features available in ROOT and extends research in finance.

KW - physics

KW - finance

KW - High energy astrophysics

U2 - 10.1088/1742-6596/2438/1/012068

DO - 10.1088/1742-6596/2438/1/012068

M3 - Conference article in journal

SN - 1742-6588

VL - 2438

JO - Journal of Physics: Conference Series

JF - Journal of Physics: Conference Series

M1 - 012068

ER -