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