Foreign Exchange Rates
Exchange rates between the US Dollar and the
British Pound (GBP)
Canadian Dollar (CAD)
German Mark (DEM)
Japanese Yen (JPY)
Swiss Franc (CHF)
in a multi-variate time series.
Data from Andreas S. Weigend, Bernardo A. Huberman, and David E. Rumelhart, "Predicting Sunspots and Exchange Rates with Connectionist Networks", pp. 395-432 in M. Casdagli and S. Eubank, eds, Nonlinear Modeling and Forecasting, Addison-Wesley, 1992.
Extracted from the Andreas Weigend web site http://www.stern.nyu.edu/~aweigend/Time-Series/TSWelcome.html.