NYSE: NYSE daily returns

In ngloe/olpsR: Algorithms and functions for On-line Portfolio Selection

Description

The dataset contains daily returns of 36 stocks listed in the New York Stock Exchange from 1962-07-03 until 1984-12-31, that is 5651 trading days. Returns are calculated as closing price divided by the closing price of the privious day (price relative). The dataset was used for the analysis of Cover's Universal Portfolio algorithm for example

Usage

data(NYSE)

Format

A data frame with 5651 observations on the following 36 stocks.

Details

The following stocks are included:

• ahp

• alco

• amerb

• arco

• coke

• comme

• dow

• dupont

• espey

• exxon

• fisch

• ford

• ge

• gm

• gte

• gulf

• hp

• ibm

• inger

• iroqu

• jnj

• kimbc

• kinar

• kodak

• luken

• meico

• merck

• mmm

• mobil

• morris

• pandg

• pills

• schlum

• sears

• sherw

• tex

Source

Originally collected by Hal Stern the data here is provided by Yoram Singer http://www.cs.bme.hu/~oti/portfolio/data.html

References

Cover, T. M. Universal Portfolios, 1991

ngloe/olpsR documentation built on May 23, 2019, 4:42 p.m.