Smarket: S&P Stock Market Data
In ISLR2: Introduction to Statistical Learning, Second Edition
Smarket R Documentation
S&P Stock Market Data
Description
Daily percentage returns for the S&P 500 stock index
between 2001 and 2005.
Usage
Smarket
Format
A data frame with 1250 observations on the following 9 variables.
YearThe year that the observation was recorded
Lag1Percentage return for previous day
Lag2Percentage return for 2 days previous
Lag3Percentage return for 3 days previous
Lag4Percentage return for 4 days previous
Lag5Percentage return for 5 days previous
VolumeVolume of shares traded (number of daily shares
traded in billions)
TodayPercentage return for today
DirectionA 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,
https://www.statlearning.com,
Springer-Verlag, New York
Examples
summary(Smarket)
lm(Today~Lag1+Lag2,data=Smarket)
ISLR2 documentation built on Nov. 20, 2022, 1:06 a.m.
R Package Documentation
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| Smarket | R Documentation |
S&P Stock Market Data
Description
Daily percentage returns for the S&P 500 stock index between 2001 and 2005.
Usage
Smarket
Format
A data frame with 1250 observations on the following 9 variables.
YearThe year that the observation was recorded
Lag1Percentage return for previous day
Lag2Percentage return for 2 days previous
Lag3Percentage return for 3 days previous
Lag4Percentage return for 4 days previous
Lag5Percentage return for 5 days previous
VolumeVolume of shares traded (number of daily shares traded in billions)
TodayPercentage return for today
DirectionA factor with levels
DownandUpindicating 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, https://www.statlearning.com, Springer-Verlag, New York
Examples
summary(Smarket) lm(Today~Lag1+Lag2,data=Smarket)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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