is_reliance: Example dataset on the spot and futures prices of RELIANCE
In ifrogs: Finance routines developed by the IGIDR Finance Research Group.
Description
Usage
Format
References
Description
Sample dataset for replication of results in the paper “When do
stock futures dominate price discovery?”. The dataset contains spot
and futures prices of RELIANCE (traded on NSE, India) for a day of
data used in the study. The prices are at one second frequency for 6
May, 2009.
The first column represents the date and time while the second and the
third column represent the stock price on the spot and the futures
market respectively.
Usage
1
Format
data.frame (20094 x 3)
References
Aggarwal N, Thomas S (2013), When do stock futures dominate price
discovery, IGIDR
WP-2011-016. http://www.igidr.ac.in/pdf/publication/WP-2011-016.pdf
ifrogs documentation built on May 31, 2017, 2:27 a.m.
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Description Usage Format References
Description
Sample dataset for replication of results in the paper “When do stock futures dominate price discovery?”. The dataset contains spot and futures prices of RELIANCE (traded on NSE, India) for a day of data used in the study. The prices are at one second frequency for 6 May, 2009.
The first column represents the date and time while the second and the third column represent the stock price on the spot and the futures market respectively.
Usage
1 |
Format
data.frame (20094 x 3)
References
Aggarwal N, Thomas S (2013), When do stock futures dominate price discovery, IGIDR WP-2011-016. http://www.igidr.ac.in/pdf/publication/WP-2011-016.pdf
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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