SP500: SP500 daily returns

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

Description

The dataset contains daily returns of the 25 largest market capitalization stocks from the S&P 500 index (as of April 2003) from 1998-01-02 until 2003-01-31, that is 1276 trading days. Returns are calculated as closing price divided by the closing price of the privious day (price relative). The dataset was used, amongst others, for the analysis of Anticor algorithm by Borodin et al. for example.

Usage

data(SP500)

Format

A data frame with 1276 observations on the following 25 stocks.

Details

The following stocks are included:

ge

General Electric Company (273 Bil)

msft

Microsoft Corporation (259 Bil)

walmart

Wal-Mart Stores (234 Bil)

exxon

Exxon Mobil Corporation (230 Bil)

pfizer

Pfizer Inc (194 Bil)

citi

Citigroup Inc. (192 Bil)

jnj

Johnson & Johnson (170 Bil)

aig

American International Group (138 Bil)

ibm

International Business Machines Corporation (136 Bil)

merck

Merck & Co., Inc. (124 Bil)

pg

Procter & Gamble Company (115 Bil)

intel

Intel Corporation (110 Bil)

bac

Bank of America Corporation (107 Bil)

coke

Coca-Cola Company (102 Bil)

cisco

Cisco Systems, Inc. (94 Bil)

verizon

Verizon Communications Inc. (93 Bil)

wfc

Wells Fargo & Company (78 Bil)

amgen

Amgen Inc. (75 Bil)

dell

Dell Computer Corporation (73 Bil)

pepsi

PepsiCo, Inc. (69 Bil)

sbc

SBC Communications Inc. (69 Bil)

fannie

Fannie Mae S&P (68 Bil)

chvron

ChevronTexaco Corporation (68 Bil)

viacom

Viacom Inc'b' (66 Bil)

lilly

Eli Lilly and Company (66 Bil)

Source

MSN Money, according to http://www.cs.technion.ac.il/~rani/portfolios

References

Borodin, A.; El-Yaniv, R. & Gogan, V. Can we learn to beat the best stock, 2004

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