quotes: Daily closings of 20 financial time series from 2006-01-03 to...
In sde: Simulation and Inference for Stochastic Differential Equations

quotes

R Documentation

Daily closings of 20 financial time series from 2006-01-03 to 2007-12-31

Description

This dataset contains the daily closings of 20 assets from NYSE/NASDAQ. Quotes from 2006-01-03 to 2007-12-31.

It is an object of class zoo. Original data contained missing data and interpolated. Used as example data to test the Markov Operator distance for discretely observed diffusion processes.

Usage

data(quotes)

References

De Gregorio, A. Iacus, S.M. (2008) Clustering of discretely observed diffusion processes, http://arxiv.org/abs/0809.3902

Examples

data(quotes)

plot(quotes)

d <- MOdist(quotes)
cl <- hclust( d )
groups <- cutree(cl, k=4)

cmd <- cmdscale(d)
plot( cmd, col=groups)
text( cmd, labels(d) , col=groups)

plot(quotes, col=groups)

plot(quotes, col=groups,ylim=range(quotes))

sde documentation built on Sept. 9, 2022, 3:07 p.m.