R/tse.R

In benSepanski/PortfolioSelection: Test and develop portfolio selection algorithms

#' TSE
#'
#' Toronto Stock Exchange prices from 1994 to 1998.
#' Downloaded by Ben Sepanski
#'
#' \describe{
#'   \item{Market:}{Toronto Stock Exchange}
#'   \item{Number of stocks}{88}
#'   \item{Number of days}{1258}
#'   \item{Number of years}{5}
#'   \item{Period}{Jan 4, 1994 to Dec 31, 1998}
#'   \item{Other Info}{contains all TSE stocks that were traded on
#'                     each of the 1258 trading days in this period.}
#' }
#'
#' @format A data frame with 1258 rows and 88 variables.
#'    Each entry is a price relative: if a stock has price
#'    \eqn{p_t} at trading period \eqn{t}, it has price relative
#'    \eqn{\frac{p_t}{p_{t-1}}} at trading period \eqn{t}.
#'    Each variable name is one of the following stocks:
#'    \itemize{
#'      \item{WESTCOAST}
#'      \item{SEAGRAM}
#'      \item{TVX GOLD}
#'      \item{TRANSCANADA}
#'      \item{THOMSON}
#'      \item{TALISMAN}
#'      \item{TRILON}
#'      \item{TECK CORP. CL}
#'      \item{TORONTO-DOMINION BANK}
#'      \item{TRANSALTA}
#'      \item{TELUS CORPORATION}
#'      \item{SUNCOR ENERGY}
#'      \item{SOUTHAM}
#'      \item{STELCO INC.}
#'      \item{SHELL CANADA LTD. CL 'A'}
#'      \item{SLOCAN FOREST}
#'      \item{ROYAL BANK OF CANADA}
#'      \item{REPAP}
#'      \item{RIO ALGOM}
#'      \item{RANGER OIL}
#'      \item{RENAISSANCE}
#'      \item{ROGERS COMMUNICATIONS}
#'      \item{QLT}
#'      \item{PURE GOLD}
#'      \item{POWER}
#'      \item{POTASH CORPORATION OF SASKATCHEWAN INC.}
#'      \item{POCO PETROLEUMS LTD.}
#'      \item{PLACER DOME}
#'      \item{PETRO-CANADA}
#'      \item{NORTHERN TELECOM LTD.}
#'      \item{NOVA SCOTIA}
#'      \item{NEWBRIDGE}
#'      \item{NOVA}
#'      \item{NATIONAL BANK}
#'      \item{INCO LIMITED}
#'      \item{METHANEX}
#'      \item{MOLSON}
#'      \item{MITEL}
#'      \item{MERRILL LYNCH}
#'      \item{MAGNA}
#'      \item{MOORE}
#'      \item{MACMILLAN}
#'      \item{MIRAMAR MINING}
#'      \item{LOEWEN GROUP}
#'      \item{KINROSS GOLD}
#'      \item{IMASCO LIMITED}
#'      \item{IMPERIAL OIL}
#'      \item{INVESTORS}
#'      \item{INTERNATIONAL}
#'      \item{HUDSON'S BAY COMPANY}
#'      \item{GENTRA}
#'      \item{GULF CANADA}
#'      \item{FRANCO-NEVADA}
#'      \item{FLETCHER}
#'      \item{FIRST AUSTRALIA PRIME INCOME INV. CO. LTD.}
#'      \item{EXTENDICARE}
#'      \item{EURO-NEVADA}
#'      \item{CANADIAN 88 ENERGY CORP.}
#'      \item{ECHO BAY MINES}
#'      \item{DOMTAR INC.}
#'      \item{DOFASCO INC.}
#'      \item{DUNDEE BANCORP}
#'      \item{CANADIAN}
#'      \item{CANADIAN}
#'      \item{CANADIAN TIRE}
#'      \item{CANADIAN}
#'      \item{CANADIAN}
#'      \item{COMINCO LTD.}
#'      \item{CAMBIOR INC.}
#'      \item{CAE INC.}
#'      \item{BREAKWATER}
#'      \item{BANK OF NOVA SCOTIA}
#'      \item{BANK OF MONTREAL}
#'      \item{BEMA GOLD}
#'      \item{BCE MOBILE}
#'      \item{BC TELECOM}
#'      \item{B.C. GAS INC.}
#'      \item{BCE INC.}
#'      \item{COTT}
#'      \item{BOMBARDIER}
#'      \item{ANDERSON}
#'      \item{AUR RESOURCES}
#'      \item{ALCAN}
#'      \item{AGNICO-EAGLE}
#'      \item{ALBERTA ENERGY}
#'      \item{AIR CANADA}
#'      \item{ABER RESOURCES}
#'      \item{BARRICK GOLD}
#'    }
#'
#' @source \url{http://www.cs.technion.ac.il/~rani/portfolios/portfolios.htm}
"tse"