Matrix of Morning High Frequency S&P Indices

Description

59 x 6 matrix of the afternoon values of the 6 indicators computed for 59 trading days

Details

range nbticks vol volratio l2slope ticksep [1,] 4.8 220 5.186267e-08 0.07729659 320.0999 9.482759 [2,] 7.6 216 5.553202e-08 0.15074484 319.5855 7.941176 [3,] 6.8 206 6.997459e-08 0.14162258 306.5356 7.253521 [4,] 5.6 223 5.573436e-08 0.12585191 331.0890 8.173488 [5,] 6.0 202 6.540085e-08 0.05605950 306.5158 7.314424 [6,] 7.3 221 7.859222e-08 0.02101963 315.5553 7.786260

Source

R. A. Carmona: Statistical Analysis of Financial Data in S-Plus, (2004) Springer Verlag, p. 193

Examples

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data(MORN.mat)
## maybe str(MORN.mat) ; plot(MORN.mat) ...