Daily percentage returns for the S&P 500 stock index between 2001 and 2005.
SmarketA data frame with 1250 observations on the following 9 variables.
YearThe year that the observation was recorded
Lag1Percentage return for previous day
Lag2Percentage return for 2 days previous
Lag3Percentage return for 3 days previous
Lag4Percentage return for 4 days previous
Lag5Percentage return for 5 days previous
VolumeVolume of shares traded (number of daily shares traded in billions)
TodayPercentage return for today
DirectionA factor with levels Down and
Up indicating whether the market had a positive or negative
return on a given day
James, G., Witten, D., Hastie, T., and Tibshirani, R. (2013) An Introduction to Statistical Learning with applications in R, https://www.statlearning.com, Springer-Verlag, New York
# NOT RUN {
summary(Smarket)
lm(Today~Lag1+Lag2,data=Smarket)
# }
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