stock_prices: Stock price data.

In Brent-Morrison/romerb: A personal R package

Stock price data.

Description

A dataset containing various stock level characteristics for approximately 700 companies for each month in 2017

Usage

stock_prices

Format

A data frame with 30705 rows and 24 variables:

symbol

the ticker symbol identifying the company

date_stamp

date_stamp

close

the closing price on the last day of the month

adjusted_close

the adjusted closing price on the last day of the month

volume

trading volume

rtn_log_1m

1 month logarithic return

amihud_1m

"amihud" illiquidity measure - 1 month average

amihud_60d

"amihud" illiquidity measure - 3 month average

amihud_vol_60d

volatility of the daily amihud illiquidity measure

vol_ari_20d

annualised 1 month volatility of 1 day arithmetic returns

vol_ari_60d

annualised 3 month volatility of 1 day arithmetic returns

vol_ari_120d

annualised 3 month volatility of 1 day arithmetic returns

skew_ari_120d

skewness of 1 day arithmetic returns calculated over 6 months

kurt_ari_120d

kurtosis of 1 day arithmetic returns calculated over 6 months

smax_20d

average of the five highest daily returns over the trailing month divided by the trailing 20 day daily return volatility

cor_rtn_1d_mkt_120d

the correlation of the daily returns between the stock and the S&P500 index over trailing 6 months

beta_rtn_1d_mkt_120d

the slope of the regression line between the stocks daily returns and the S&P500 index daily returns over trailing 6 months

rtn_ari_1m

1 month arithmetic returns

rtn_ari_3m

3 month arithmetic returns

rtn_ari_6m

6 month arithmetic returns

rtn_ari_12m

12 month arithmetic returns

sector

the industry sector to which the stock belongs

suv

standardised unexpected volume

ipc

intra-portfolio correlation

...

Source

Alpha Vantage for raw data and "return_attributes.R" for further calculations

Brent-Morrison/romerb documentation built on Jan. 28, 2024, 9:27 p.m.