Smarket: S&P Stock Market Data In ISLR: Data for an Introduction to Statistical Learning with Applications in R

Description

Daily percentage returns for the S&P 500 stock index between 2001 and 2005.

Usage

 `1` ```Smarket ```

Format

A data frame with 1250 observations on the following 9 variables.

`Year`

The year that the observation was recorded

`Lag1`

Percentage return for previous day

`Lag2`

Percentage return for 2 days previous

`Lag3`

Percentage return for 3 days previous

`Lag4`

Percentage return for 4 days previous

`Lag5`

Percentage return for 5 days previous

`Volume`

`Today`

Percentage return for today

`Direction`

A factor with levels `Down` and `Up` indicating whether the market had a positive or negative return on a given day

Source

Raw values of the S&P 500 were obtained from Yahoo Finance and then converted to percentages and lagged.

References

James, G., Witten, D., Hastie, T., and Tibshirani, R. (2013) An Introduction to Statistical Learning with applications in R, www.StatLearning.com, Springer-Verlag, New York

Examples

 ```1 2``` ```summary(Smarket) lm(Today~Lag1+Lag2,data=Smarket) ```

Example output

```      Year           Lag1                Lag2                Lag3
Min.   :2001   Min.   :-4.922000   Min.   :-4.922000   Min.   :-4.922000
1st Qu.:2002   1st Qu.:-0.639500   1st Qu.:-0.639500   1st Qu.:-0.640000
Median :2003   Median : 0.039000   Median : 0.039000   Median : 0.038500
Mean   :2003   Mean   : 0.003834   Mean   : 0.003919   Mean   : 0.001716
3rd Qu.:2004   3rd Qu.: 0.596750   3rd Qu.: 0.596750   3rd Qu.: 0.596750
Max.   :2005   Max.   : 5.733000   Max.   : 5.733000   Max.   : 5.733000
Lag4                Lag5              Volume           Today
Min.   :-4.922000   Min.   :-4.92200   Min.   :0.3561   Min.   :-4.922000
1st Qu.:-0.640000   1st Qu.:-0.64000   1st Qu.:1.2574   1st Qu.:-0.639500
Median : 0.038500   Median : 0.03850   Median :1.4229   Median : 0.038500
Mean   : 0.001636   Mean   : 0.00561   Mean   :1.4783   Mean   : 0.003138
3rd Qu.: 0.596750   3rd Qu.: 0.59700   3rd Qu.:1.6417   3rd Qu.: 0.596750
Max.   : 5.733000   Max.   : 5.73300   Max.   :3.1525   Max.   : 5.733000
Direction
Down:602
Up  :648

Call:
lm(formula = Today ~ Lag1 + Lag2, data = Smarket)

Coefficients:
(Intercept)         Lag1         Lag2
0.003283    -0.026444    -0.010946
```

ISLR documentation built on May 2, 2019, 10:14 a.m.