sample_data: Sample Data for Analysis

In yzhao7322/CurVol: Curve Data Volatility Analysis

Description

A dataset of S&P 500 intra-day price at one-minute frequence from 9:30 a.m. to 4:00 p.m.. The sample ranges from 02/January/2015 to 29/March/2018, and trading days with missing intra-day observations have been eliminated from the sample.

Usage

sample_data

Format

a 390 by 788 matrix that each column containing the raw intra-day price discretely observed at daily basis.

See Also

intra.return

Examples

# load the data
yd = as.matrix(sample_data)
grid_point = dim(yd)[1]
N = dim(yd)[2]

# smooth data into functional objects by using B-spline bases.
fd = fda::Data2fd(y=yd, argvals=seq(0,1,len = grid_point), fda::create.bspline.basis(nbasis = 32))

yzhao7322/CurVol documentation built on Sept. 5, 2021, 8:41 p.m.