fBasics (version 201.10060)

BasicsData: fBasics Data Sets

Description

A collection and description of data sets used in the examples. Included are data files for high frequency FX data, time and sales data for financial Futures, and market returns for selected stock and market indexes. The data sets are: ll{ 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, nyse.csv Daily Values of the NYSE Composite Index, 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 [e-mail].

source

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. nyse 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.

Details

High Frequency Data for the AUDUSD and USDTHB: 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. nyse contains two column data recors, the date and the NYSE Composite Index.

Examples

## SOURCE("fBasics.A0-SPlusCompatibility")
## SOURCE("fBasics.Z1-BasicsTools")

##  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()