stocks

A dataset containing the daily stock returns for 10 stocks and the S&amp;P 500
market returns for the time-period 2000-01-04 until 2017-12-29

datasets

Measuring information flow between time series with Shannon and Rényi transfer entropy. See also Dimpfl and Peter (2013) <doi:10.1515/snde-2012-0044> and Dimpfl and Peter (2014) <doi:10.1016/j.intfin.2014.03.004> for theory and applications to financial time series. Additional references can be found in the theory part of the vignette.

David Zimmermann

RTransferEntropy

Measuring Information Flow Between Time Series with Shannon and
Renyi Transfer Entropy

Simon Behrendt

Thomas Dimpfl

Franziska Peter

stocks function

A data frame (or data.table if loaded) with 46940 rows and 4 variables:<dl>
 <dt>date</dt>
<dd>date of the observation</dd> <dt>ticker</dt>
<dd>ticker of the stock</dd> <dt>ret</dt>
<dd>Return of the stock</dd> <dt>sp500</dt>
<dd>Return of the S&amp;P 500 stock market index</dd>
</dl>

Format

Daily stock data for 10 stocks from 2000-2017 — stocks

A data frame (or data.table if loaded) with 46940 rows and 4 variables:<dl>
 <dt>date</dt>
<dd>date of the observation</dd>

 <dt>ticker</dt>
<dd>ticker of the stock</dd>

 <dt>ret</dt>
<dd>Return of the stock</dd>

 <dt>sp500</dt>
<dd>Return of the S&amp;P 500 stock market index</dd>


</dl>

stocks: Daily stock data for 10 stocks from 2000-2017

Description

Usage

Arguments

Format