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
- ibm
- IBM 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.tp
- IBM transactions data of December 1999: data.frame of date.time
and price.
- ibmdurad
- Adjusted time durations between trades of IBM stock
(11/01/1990-1/31/1991).
Format: data.frame with columns date.time and adjusted.duration
- ibm1to5.dur
- subset of 'ibmdurad' limited to positive durations in the first 5
trading days.
- ibm91.ads
- a 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.adsx
- a 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.ori
- data.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.
- day15
- a 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 0.3-9
Index]