Intrinsic Times of Financial Data: Recovering Gaussianity through the Lévy Sections Theorem

<p dir="ltr">This repository contains the R code accompanying the study <i>“Intrinsic Times of Financial Data: Recovering Gaussianity through the Lévy Sections Theorem.”</i> The scripts implement the Lévy sections framework to recover Gaussian behavior in financial time series by redefining time through the concept of intrinsic (sectional) time. Data are automatically retrieved from the Brazilian B3 stock exchange using the <code>quantmod</code> package for daily prices of major equities between 2000 and 2025. The code computes local variances, constructs sectional times and log-returns, evaluates Gaussianity through goodness-of-fit tests, fits Weibull distributions to indicial intervals, and generates all figures reported in the manuscript. This material ensures full reproducibility of the results and can be adapted to other financial datasets.</p>