Stock: Intra-Day Stock Price Data Sets

In fChange: Change Point Analysis in Functional Data

Description

Stock prices in one minute resolution are recorded for Bank of America, Walmart, Disney, Chevron, IBM, Microsoft, CocaCola, Exon mobile, McDonalds and Microsoft. The time period that the observations span is given in the column names of each stock data. During each day, stock price values were recorded in one-minute intervals from 9:30 AM to 4:00 PM EST. The columns display the day, and the rows display the time at which the stock price is recorded.

Usage

Stock

Format

An object of class data.table or data.frame.

Value

Several Stock Price Data Sets:

Walmart	Walmart Stock Price Data Set taken from 06/15/2006 to 04/02/2007
Disney	Disney Stock Price Data Set taken from 06/15/2006 to 04/02/2007
ExonMobile	Exon Mobile Stock Price Data Set taken from 06/15/2006 to 04/02/2007
IBM	IBM Stock Price Data Set taken from 06/15/2006 to 04/02/2007
CitiGroup	Citi Group Stock Price Data Set taken from 06/15/2006 to 04/02/2007
McDonalds	McDonalds Stock Price Data Set taken from 06/15/2006 to 04/02/2007
Microsoft	Microsoft Stock Price Data Set taken from 06/15/2006 to 04/02/2007
BankOfAmerica	Bank Of America Stock Price Data Set taken from 06/15/2006 to 04/02/2007
Chevron	Chevron Stock Price Data Set taken from 06/15/2006 to 04/02/2007
CocaCola	Coca Cola Stock Price Data Set taken from 06/15/2006 to 04/02/2007

Source

Google Finance

Examples

 library(fda)
 # transform first 100 days of Chevron data into functional data object
 data = as.matrix(Stock$Chevron[,1:100])
 # First need to transform the data to obtain the log returns
 temp1=data
 for(j in c(1:dim(data)[1])){
  for(k in c(1:dim(data)[2])){
    data[j,k]=100*(log(temp1[j,k])-log(temp1[1,k]))
  }
}
# Transform the Log return data into functional data
#using 21 bspline basis functions on [0,1]
D=21
basis =  create.bspline.basis(rangeval = c(0, 1), nbasis = D)
Domain = seq(0, 1, length = nrow(data))
f_data = Data2fd(argvals = Domain , data, basisobj = basis)
plot(f_data)

Example output

Loading required package: splines
Loading required package: Matrix

Attaching package: 'fda'

The following object is masked from 'package:graphics':

    matplot

[1] "done"

fChange documentation built on May 2, 2019, 6:43 a.m.