Visualizing and exploring high frequency financial data: beanplot time series

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.