Factors: Cryptocurrency Returns and Volume Data

In portsort: Factor-Based Portfolio Sorts

Description

The data set includes lagged log returns, lagged volume denominated in Bitcoin and forward log returns aggregated every 24-hours for a cross-section of 26 cryptocurrency pairs from the 1st January 2017 to 9th September 2018. The data was downloaded from CryptoCompare - a free API accessible at https://min-api.cryptocompare.com

Usage

data("Factors")

Format

A list of three xts objects including lagged returns (R.Lag), lagged volumes (V.Lag) and forward returns (R.Forward).

Source

https://min-api.cryptocompare.com

Examples

# Load data
data(Factors)
# Unlist the data
R.Forward = Factors[[1]]; R.Lag = Factors[[2]]; V.Lag = Factors[[3]]
head(V.Lag[1:5,1:5])

Example output

Loading required package: xts
Loading required package: zoo

Attaching package: ‘zoo’

The following objects are masked from ‘package:base’:

    as.Date, as.Date.numeric

                          POT       RDD       BTS    DASH     DOGE
2017-01-20 23:00:00  66.49749 0.2362941 36.479986  534.81 56.63730
2017-01-21 23:00:00 126.31310 2.2594692 34.563873  528.33 30.37476
2017-01-22 23:00:00 228.73810 0.1654387 23.167426  315.21 32.16310
2017-01-23 23:00:00  73.37961 0.3748340 10.189831 1373.78 23.76585
2017-01-24 23:00:00  40.65718 0.5955821  9.978738  535.24 30.78650

portsort documentation built on May 2, 2019, 6:36 a.m.