ch05data: financial time series for Tsay (2005, chapter 5[text])
Description
Financial time series used in examples in chapter 5.Usage
data(ibm)
data(ibm9912.tp)
data(ibmdurad)
data(ibm1to5.dur)
data(ibm91.ads)
data(ibm91.adsx)
data(day15.ori)
data(day15)
format
{
IBM transactions data (11/1/1990 - 1/31/1991)
data.frame of date.time, volume, bid, ask, and price of IBM stock
transactions. date.time is of class 'chron', while volume, bid,
ask, and price are all numeric. Some tranactions have the same
date.time values, which is why this is a data.frame and not a zoo
object.
}
- ibm9912.tp
{
IBM transactions data of December 1999: data.frame of date.time
and price.
}
- ibmdurad
{
Adjusted time durations between trades of IBM stock
(11/01/1990-1/31/1991).
Format: data.frame with columns date.time and adjusted.duration
}
- ibm1to5.dur
{
subset of 'ibmdurad' limited to positive durations in the first 5
trading days.
}
- ibm91.ads
{
a data.frame on the changes in the price of IBM stock transactions
between November 1, 1990 and January 31, 1991. This period
includes 63 trading days, during which 59,838 transactions were
recorded during normal trading hours. The first transcation for
each day was dropped leaving the 59,775 transactions in this
data.frame.
{
1 if a price change from the previous trade, 0 otherwise
}
- DirectionOfChg
{
1 if positive, -1 if negative, 0 if no change
}
- SizeInTicks
{
Size of the price change in number of ticks of 1/8 of a US
dollar.
NOTE: There are 10 anomalous records for which A.priceChange
!=0 but SizeInTicks == 0 in this data.frame. These correspond
to price changes of half a tick, which got rounded down to 0.
}
}item
- ibm91.adsx
- time.betw.trades
- bid.ask.spread
- A.priceChange
- DirectionOfChg
- SizeInTicks
- day15.ori
- day15
- DirectionOfChange
- priceChgTicks
- nTradesWoChg
- multTrans
- dailyCumChg
source
http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2References
Ruey Tsay (2005)
Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 5)