Using high frequency (tick data) Bitcoin quotes from the bitcoincharts website.
This project provide a bunch of functions which enabled to download and preprocess this data.
Moreover there was built an example concerning usage of mentioned data.
More precisely an investigation of a price mean spillover across Bitcoin markets was performed - a test for the market efficiency.
bitcoincharts tick data usage - upto a few hundred millions rows for all currencies and around 100 millions for USD markets:
R_funs.R - Tutorial of downloading and preprocessing this data
bitcoin_spillovers.Rmd - Exploration of Bitcoin markets efficiency
For the visualization process data was aggregated to one hour interval.
