R/data_SP500.R

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

# ============================================== #
# Documentation for S&P500 dataset with roxygen2 #
# ============================================== #

#' SP500 daily returns
#' 
#' 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 \code{Anticor} algorithm by Borodin et al. 
#' for example.
#' 
#' @format A data frame with 1276 observations on the following 25 stocks.
#' 
#' @details The following stocks are included:
#' \describe{
#'  \item{\code{ge}}{General Electric Company (273 Bil)}
#'  \item{\code{msft}}{Microsoft Corporation (259 Bil)}
#'  \item{\code{walmart}}{Wal-Mart Stores (234 Bil)}
#'  \item{\code{exxon}}{Exxon Mobil Corporation (230 Bil)}
#'  \item{\code{pfizer}}{Pfizer Inc (194 Bil)}
#'  \item{\code{citi}}{Citigroup Inc. (192 Bil)}
#'  \item{\code{jnj}}{Johnson & Johnson (170 Bil)}
#'  \item{\code{aig}}{American International Group (138 Bil)}
#'  \item{\code{ibm}}{International Business Machines Corporation (136 Bil)}
#'  \item{\code{merck}}{Merck & Co., Inc. (124 Bil)}
#'  \item{\code{pg}}{Procter & Gamble Company (115 Bil)}
#'  \item{\code{intel}}{Intel Corporation (110 Bil)}
#'  \item{\code{bac}}{Bank of America Corporation (107 Bil)}
#'  \item{\code{coke}}{Coca-Cola Company (102 Bil)}
#'  \item{\code{cisco}}{Cisco Systems, Inc. (94 Bil)}
#'  \item{\code{verizon}}{Verizon Communications Inc. (93 Bil)}
#'  \item{\code{wfc}}{Wells Fargo & Company (78 Bil)}
#'  \item{\code{amgen}}{Amgen Inc. (75 Bil)}
#'  \item{\code{dell}}{Dell Computer Corporation (73 Bil)}
#'  \item{\code{pepsi}}{PepsiCo, Inc. (69 Bil)}
#'  \item{\code{sbc}}{SBC Communications Inc. (69 Bil)}
#'  \item{\code{fannie}}{Fannie Mae S&P (68 Bil)}
#'  \item{\code{chvron}}{ChevronTexaco Corporation (68 Bil)}
#'  \item{\code{viacom}}{Viacom Inc'b' (66 Bil)}
#'  \item{\code{lilly}}{Eli Lilly and Company (66 Bil)}
#' }
#' 
#' @usage data(SP500)
#' 
#' @source MSN Money, according to \url{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
#' 
#' @docType data
#' @keywords datasets
#' @name SP500
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