TSE: TSE daily returns

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

Description

The dataset contains daily returns of 88 stocks from the Toronto Stock Exchange (TSE) from 1994-01-04 until 1998-12-31, that is 1258 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 Anticor algorithm by Borodin et al. for example.

Usage

data(TSE)

Format

A data frame with 1258 observations on the following 88 stocks.

Details

The following stocks are included:

we

WESTCOAST ENERGY INC.

seagram

SEAGRAM COMPANY LTD.

tvxgold

TVX GOLD INCORPORATED

transcanada

TRANSCANADA PIPELINES LTD.

thomson

THOMSON CORPORATION

talisman

TALISMAN ENERGY INC.

trilon

TRILON FINANCIAL CORP. CL 'A'

teck

TECK CORP. CL 'B' SV

tdb

TORONTO-DOMINION BANK

transalta

TRANSALTA CORPORATION

telus

TELUS CORPORATION

suncor

SUNCOR ENERGY INC.

southam

SOUTHAM INCORPORATED

stelco

STELCO INC. SERIES 'A'

shell_ca

SHELL CANADA LTD. CL 'A'

sfp

SLOCAN FOREST PRODUCTS LTD.

rbc

ROYAL BANK OF CANADA

repap

REPAP ENTERPRISES INC.

rio

RIO ALGOM LIMITED

ranger

RANGER OIL LTD.

re

RENAISSANCE ENERGY LTD.

rogers

ROGERS COMMUNICATIONS INC. CL 'B' NV

qlt

QLT PHOTOTHERAPEUTICS INC. J

pure

PURE GOLD MINERALS INC. J

power

POWER CORPORATION OF CANADA SV

potash

POTASH CORPORATION OF SASKATCHEWAN INC.

poco

POCO PETROLEUMS LTD.

placer

PLACER DOME INC.

petro_ca

PETRO-CANADA COMMON/VARIABLE VOTING

northern

NORTHERN TELECOM LTD.

nsp

NOVA SCOTIA POWER INC.

nnc

NEWBRIDGE NETWORKS CORPORATION

nova

NOVA CORPORATION

nbc

NATIONAL BANK OF CANADA

inco

INCO LIMITED

methanex

METHANEX CORPORATION

molson

MOLSON COMPANIES LTD. (THE) CL 'A' NV

mitel

MITEL CORPORATION

merrill

MERRILL LYNCH

magna

MAGNA INTERNATIONAL INC. CL 'A' SV

moore

MOORE CORPORATION LTD.

macmillan

MACMILLAN BLOEDEL LTD.

miramar

MIRAMAR MINING CORPORATION

loewen

LOEWEN GROUP INC.

kinross

KINROSS GOLD CORPORATION

imasco

IMASCO LIMITED

imperial

IMPERIAL OIL LTD.

investors

INVESTORS GROUP INC.

ifp

INTERNATIONAL FOREST PRODUCTS LTD. CL 'A' SV

hudsons

HUDSON'S BAY COMPANY

gentra

GENTRA INCORPORATED

gulf

GULF CANADA RESOURCES LTD.

fnmining

FRANCO-NEVADA MINING CORP.

fletcher

FLETCHER CHALLENGE CANADA LTD. CL 'A'

fapi

FIRST AUSTRALIA PRIME INCOME INV. CO. LTD.

extcare

EXTENDICARE INC. SV

enmining

EURO-NEVADA MINING CORP. LTD.

ca88

CANADIAN 88 ENERGY CORP.

echo

ECHO BAY MINES LTD.

domtar

DOMTAR INC.

dofasco

DOFASCO INC.

dundee

DUNDEE BANCORP INC. CL 'A' SV

ca_occidental

CANADIAN OCCIDENTAL PETROLEUM LTD.

ca_utilities

CANADIAN UTILITIES LTD. CL 'A' NV

ctc

CANADIAN TIRE CORP. LTD. CL 'A' NV

cnr

CANADIAN NATURAL RESOURCES LIMITED

cib

CANADIAN IMPERIAL BANK OF COMMERCE

cominco

COMINCO LTD.

cambior

CAMBIOR INC.

cae

CAE INC.

breakwater

BREAKWATER RESOURCES LTD.

bns

BANK OF NOVA SCOTIA

bm

BANK OF MONTREAL

bema

BEMA GOLD CORPORATION J

bmc

BCE MOBILE COMMUNICATIONS INC.

bctel

BC TELECOM INC.

bcgas

B.C. GAS INC.

bce

BCE INC.

cott

COTT CORPORATION

bombardier

BOMBARDIER INC. CL 'B' SV

anderson

ANDERSON EXPLORATION LTD.

aur

AUR RESOURCES INC.

alcan

ALCAN ALUMINIUM LTD.

aem

AGNICO-EAGLE MINES LTD.

aec

ALBERTA ENERGY COMPANY LTD.

air_ca

AIR CANADA

aber

ABER RESOURCES LTD.

barrick

BARRICK GOLD CORPORATION

Source

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.