ch05data {FinTS} | R Documentation |
financial time series for Tsay (2005, chapter 5[text])
Description
Financial time series used in examples in chapter 5.
Usage
data(ibm)
data(ibm9912.tp)
data(ibmdurad)
data(ibm1to5.dur)
data(ibm91.ads)
data(ibm91.adsx)
data(day15.ori)
data(day15)
Format
ibmIBM transactions data (11/1/1990 - 1/31/1991)
data.frame of date.time, volume, bid, ask, and price of IBM stock
transactions. date.time is of class 'chron', while volume, bid,
ask, and price are all numeric. Some tranactions have the same
date.time values, which is why this is a data.frame and not a zoo
object.
ibm9912.tpIBM transactions data of December 1999: data.frame of date.time and
price.
ibmduradAdjusted time durations between trades of IBM stock
(11/01/1990-1/31/1991).
Format: data.frame with columns date.time and adjusted.duration
ibm1to5.dursubset of 'ibmdurad' limited to positive durations in the first 5
trading days.
ibm91.adsa data.frame on the changes in the price of IBM stock transactions
between November 1, 1990 and January 31, 1991. This period includes
63 trading days, during which 59,838 transactions were recorded
during normal trading hours. The first transcation for each day was
dropped leaving the 59,775 transactions in this data.frame.
ibm91.adsxa data.frame with 6 variables the same transactions as in
'ibm91.ads':
- volume.thousands
- thousands of shares traded
- time.betw.trades
- seconds between the previous two trades
- bid.ask.spread
- the bid-ask spread in USD of the current transaction.
- A.priceChange
- 1 if the previous trade involved a price change from its
predacessor, and 0 otherwise
- DirectionOfChg
- 1 if the previous change was positive, -1 if negative, 0 if no
change
- SizeInTicks
- Size of the price change in the previous trade in number of
ticks of 1/8 of a US dollar.
NOTE: The last three columns are ibm91.ads lagged one
transaction, so ibm91.adsx[-1, 4:5] == ibm91.ads[-59775, ], with
24 exceptions.
day15.oridata.frame with the transaction time and the stock price for the 728
IBM stock transactions that occurred during normal trading hours on
November 21, 1990.
day15a zoo object with the following columns supposedly summarizing only
the price changes in day15.ori:
- timeBetwPriceChg
- time in seconds since the last price
change
- DirectionOfChange
- 1 if the price increased, -1 if it decreased
- priceChgTicks
- price change in number of ticks of USD 1/8.
- nTradesWoChg
- number of trades without a price change since the previous price
change ... supposedly. These numbers do not match a manual
extraction of these data from 'day15.ori'.
- multTrans
- 1 if there were multiple transactions within the same one second
interval, 0 if not.
- dailyCumChg
- cumulative price change in USD since the start of normal trading
on November 21, 1990.
Source
http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2
References
Ruey Tsay (2005)
Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 5)
See Also
ch01data
ch02data
[Package
FinTS version 0.3-1
Index]