data-examples: fBsiscs Data Sets

Description Details References Examples

Description

The following data sets are part of this package:

Capitalization Market capitalization of domestic companies,
cars2 Data for various car models,
DowJones30 Down Jones 30 stocks,
HedgeFund Hennessee Hedge Fund Indices,
msft.dat Daily Microsoft OHLC prices and volume,
nyse NYSE composite Index,
PensionFund Swiss Pension Fund LPP-2005,
swissEconomy Swiss Economic Data,
SWXLP Swiss Pension Fund LPP-2000,
usdthb Tick data of USD to THB.

Details

Capitalization:
Capitalization contains market capitalization of domestic companies from 2003 - 2008 in USD millions.

cars2:
cars2 contains the price, country, reliability, mileage, type, weight, engine displacement and net horsepower of various car models.

DowJones30:
DowJones30 contains daily observations from the Dow Jones 30 Index series. Each of the thirty columns represents the closing price of a stock in the Index.

HedgeFund:
HedgeFund contains monthly percentual returns of various hedge fund strategies from Hennessee Group LLC.

msft.dat:
msft.dat contains daily prices (open, high, low and close) and volumes for the Microsoft stocks.

nyse:
nyse contains daily records of the NYSE Composite Index.

PensionFund:
PensionFund is a daily data set of the Swiss pension fund benchmark LPP-2005. The data set ranges from 2005-11-01 to 2007-04-11. The columns are named: SBI, SPI, SII, LMI, MPI, ALT, LPP25, LPP40, LPP60

swissEconomy:
swissEconomy contains the GDP per capita, exports, imports, interest rates, inflation, unemployment and population for the years 1964 - 1999 for Switzerland.

SWXLP:
SWXLP is a daily data set of the Swiss pension fund benchmark LPP-2000. The data set ranges from 2000-01-03 to 2007-05-08. The columns are named: SBI, SPI, SII, LP25, LP40, LP60.

usdthb:
usdthb Tick data of US Dollar (USD) in Thailand Bhat (THB) colleted from Reuters. Format: YYYYMMDDhhmm. Column variables: delay time, contributer, bid and ask prices, and quality flag. It covers the Asia FX crisis in June 1997.

References

Capitalization:
World Federation of Stock Exchanges, http://www.world-exchanges.org/statistics.

cars2:
Derived from the car90 dataset within the rpart package. The car90 dataset is based on the car.all dataset in S-PLUS. Original data comes from: April 1990, Consumer Reports Magazine, pages 235-255, 281-285 and 287-288.

DowJones30
http://www.yahoo.com.

HedgeFund:
http://www.hennesseegroup.com/indices/returns/year/2005.html.

msft.dat:
http://www.yahoo.com.

nyse:
http://www.nyse.com.

PensionFund:
SBI, SPI, SII: SIX (Swiss Exchange Zurich); LPP25, LPP40, LPP60: Banque Pictet Geneva; LMI, MPI, ALT: Recalculated from the indices and benchmarks

swissEconomy:
http://www.oecd.org/ and http://www.imf.org/.

SWXLP:
SBI, SPI, SII: SIX (Swiss Exchange Zurich); LPP25, LPP40, LPP60: Banque Pictet Geneva

usdthb:
Reuters Select Feed Terminal (1997).

Examples

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## Plot DowJones30 Example Data Set
   series <- as.timeSeries(DowJones30)
   head(series)
   plot(series[,1:6], type = "l")

Example output

Loading required package: timeDate
Loading required package: timeSeries


Rmetrics Package fBasics
Analysing Markets and calculating Basic Statistics
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: info@rmetrics.org
GMT
             AA  AXP     T    BA  CAT    C   KO    DD    EK   XOM   GE    GM
1990-12-31 5.92 4.70 14.67 21.77 9.30 1.87 9.88 13.15 23.02 12.09 4.63 19.72
1991-01-02 5.92 4.70 14.67 21.77 9.30 1.87 9.88 13.15 23.02 12.09 4.63 19.72
1991-01-03 5.88 4.73 14.73 21.71 9.15 1.87 9.60 12.83 22.95 12.15 4.53 19.57
1991-01-04 5.76 4.73 14.79 22.50 9.00 1.92 9.85 13.06 22.74 12.27 4.47 19.00
1991-01-07 5.72 4.58 14.67 21.65 8.87 1.89 9.69 12.83 22.11 12.12 4.40 18.35
1991-01-08 5.63 4.53 14.73 21.34 9.05 1.85 9.60 12.60 22.18 12.09 4.44 18.28
            HWP   HD  HON INTC   IBM    IP  JPM  JNJ  MCD   MRK MSFT   MMM
1990-12-31 3.91 2.80 5.70 1.20 27.86 20.45 2.67 7.31 7.08 11.83 2.08 31.41
1991-01-02 3.91 2.80 5.70 1.20 27.86 20.45 2.67 7.31 7.08 11.83 2.08 31.41
1991-01-03 3.91 2.74 5.67 1.20 27.95 20.21 2.67 7.23 6.99 11.45 2.09 30.90
1991-01-04 3.85 2.75 5.65 1.20 27.86 20.50 2.69 7.18 7.02 11.27 2.11 30.80
1991-01-07 3.88 2.65 5.50 1.19 27.39 20.45 2.58 6.96 6.80 10.97 2.08 30.43
1991-01-08 3.90 2.59 5.47 1.18 27.08 20.26 2.58 7.02 6.83 11.01 2.04 29.65
              MO    PG  SBC  UTX  WMT  DIS
1990-12-31 10.55 20.91 9.75 9.31 7.05 7.86
1991-01-02 10.55 20.91 9.75 9.31 7.05 7.86
1991-01-03 10.27 20.70 9.64 9.19 7.05 7.82
1991-01-04 10.24 20.48 9.56 9.24 6.97 7.79
1991-01-07 10.08 20.05 9.40 8.95 6.82 7.58
1991-01-08 10.11 20.02 9.32 8.78 6.85 7.41

fBasics documentation built on Nov. 18, 2017, 4:05 a.m.