Description Usage Format References Examples
Often several trades per second of a stock occur; this dataset consists of the last quoted value for each second for 1st March 2011. Thus the finest sampling interval is one second, but as there are seconds with no trades, the data have an unequally spaced sampling regime.
1 | data("Baidu")
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A data frame with 7984 observations on the following 3 variables.
Time
A variable with the time of the trade.
Seconds.index
An index representing the time (in seconds) from the start of the data, representing the sampling regime of the series.
Return
The return price of the stock.
Hamilton, J., Nunes, M. A, Knight, M. I. and Fryzlewicz, P. (2018) Complex-valued wavelet lifting and applications. Technometrics, 60 (1), 48-60, DOI 10.1080/00401706.2017.1281846.
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