audusd.csv Reuters Tick-by-Tick AUDUSD rates 1997-10,
usdthb.csv Reuters Tick-by-Tick USDTHB rates 1997,
fdax9710.csv Minute-by-Minute DAX Futures Prices for 1997-10*,
fdax97m.csv Minutely Time and Sales DAX Futures for 1997,
bmwres.csv Daily log Returns of German BMW Stock Proces,
nyseres.csv Daily log Returns of the NYSE Composite Index. }
*The file fdax97m.csv is too large and therefore not part of
the fBasics distribution. Please contact inf@rmetrics.org.
Additionally the timezone datafile is:
timezones.db file with all available Ical time zone names. }audusd
usdthb
The data were collected by D. Wuertz and R. Schnidrig from the
Reuter's data feed.
fdax9710
fdax97m
The data were extracted from time and sales data records from
the Frankfurt Futures Exchange.
bmwres
The data were published in the EVIS software package.
nyseres
The data were downloaded from the web site of the New York Stock
Exchange and the residuals were calculated as logarithmic price
differences.
http://www.nyse.com.audusd and usdthb archive high frequency exchange rates
for the Australian / US Dollar exchange rate in October 1997 and exchange
rates for the US Dollar / Thailand Bhat exchange rate in June 1997:
A comma delimited CSV file with 6 columns. The first column,
named XDATE, contains date/time entries in ISO-8601 format
as [CCYYMMDDhhmm], the second column, named DELAY, gives
the delay in minutes between the time stamp of Reuter's data
record and arrival time at the local database, the third column
named CONTRIBUTOR is Reuter's identification, a 4 character
code, the fourth and fifth column, named BID and ASK
are the bid and ask price quotations, and finally the sixth
column, named FLAG, is not used and has zeros as entries.
DAX Futures Data:
fdax9710 archives returns of minute-by-minute prices for
Dax Futures in October 1997:
A comma delimited CSV file with 2 columns. The first column,
named XDATE, contains date/time entries in ISO-8601 format
as [CCYYMMDDhhmm], the second column, named FDAX, gives
an averaged price of the Dax Futures, i.e. the mean of
all volume weighted time and sales within the same minute.
fdax97m archives returns for minute-by-minute prices for Dax
Futures in 1997: A comma delimited CSV file with 2 columns. The first
column, named XDATE, contains date/time entries in ISO-8601
format as [CCYYMMDDhhmm], the second column, named FDAX, gives
a minutely averaged price during opening hours of the exchange,
i.e. the mean of all volume weighted time and sales within the
same minute.
Log returns for BMW Shares and NYSE Composite Index:
bmwres and nyseres archive log returns of the German
BMW stock listed in the German DAX30 and log returns of the NYSE
Composite Index, both on a daily trading day time scale just numbering
the log returns: A one column CSV file with column names BMW
or NYSERES, respectively. The entries are the differences
of the logarithmic prices on two succeeding trading days.
Calendar Data:
holidays.db.R is the database of world wide holidays with
informations collected from several sources on the internet.
timezones.csv is a list of timezones information extracted
from Olsen's database. Downloadable from
ftp://elsie.nci.nih.gov/pub/## plot -
xmpBasics("Start: Plot Residuals NYSE Composite Index > ")
data(nyseres)
x = as.ts(nyseres)
par(mfrow = c(2, 1), cex = 0.75)
plot(100*x, type = "l", col = "steelblue4",
main = "NYSE Composite Index")
grid()
plot(cumsum(x), type = "l", col = "steelblue4",
main = "Cumulated NYSE Index")
grid()Run the code above in your browser using DataLab