May 9 – 12, 2022
US/Central timezone
Join us shape the future

Using and Adapting ROOT for High-frequency Financial Market Data

May 9, 2022, 10:40 AM
One West (Virtual)

One West


**This meeting is held virtually** Registered participants received the video conferencing link on Sunday, 8th May 2022.
Presentation The View of Physicists First Session


Philippe Debie (Wageningen University)


In particle physics, ROOT is the dominant framework for data analysis, resulting in strong collaborations, easy data sharing and reproducible research. On contrary, research on the high-frequency structure of financial markets lacks such an universally used framework, and often uses custom implementations to analyse large data sets. This results in a relative small number of high-frequency publications.
Our research is part of an unique collaboration between researchers in particle physics and in finance. We use ROOT to store, process and analyse high-frequency market data. This presentation will show the similarities of data in particle physics and finance, and argues the suitability of adapting ROOT for finance data. We present a framework built on top of ROOT to work with time series data. In addition, we show a prototype of an implementation integrating this framework into RDataframe, thus reducing the entry level of using ROOT for finance and leveraging the multi-threading performance of RDataframe.

Primary authors

Philippe Debie (Wageningen University) Dr Axel Naumann (CERN) Mrs Marjolein Verhulst (Wageningen University) Prof. Joost Pennings (Wageningen University, Maastricht University) Dr Jonas Rembser (CERN) Dr Serdar Demirel (Wageningen University) Dr Lorenzo Moneta (CERN)

Presentation materials