| fBasicsData {fBasics} | R Documentation |
A collection and description of data sets used in the
examples. Included are data files for high frequency FX
data, time and sales data for financial futures, and
market returns for selected stock and market indexes.
Included are also tables for the finite sample Jarque-Bera
test.
The data sets are:
audusd.csv | Reuters Tick-by-Tick AUDUSD rates 1997-10, |
usdthb.csv | Reuters Tick-by-Tick USDTHB rates 1997, |
usddem30u.csv | Reuter 30 min USDDEM rate in upsilon time, |
usdchf.csv | Reuters 30 min USDCHF Rates 199604-200103, |
fdax9710.csv | Minute-by-Minute DAX Futures Prices for 1997-10*, |
fdax97m.csv | Minutely Time and Sales DAX Futures for 1997, |
bmwres.csv | Daily log Returns of German BMW Stock Proces, |
nyse.csv | Daily Values of the NYSE Composite Index, |
nyseres.csv | Daily log Returns of the NYSE Composite Index, |
jbLM | Table for the Jarque Bera Lagrange Multiplier test, |
jbALM | Table for the JB Augmented LM finite sample test, |
PhiStable | Table of Contours for Stable Parameter Estimation. |
The CIA Factbook:
ciaFactbook.R | Macroeconomic data from the CIA Factbook. |
The Tables from World Federarion of Exchanges , WFE:
wfe1.csv | Table 1, market capitalization of domestic companies, |
wfe2.csv | Table 2, total number of companies with shares listed, |
wfe3.csv | Table 3, total value of share trading, |
wfe4.csv | Table 4, market value of bonds listed, |
wfe5.csv | Table 5, total value of bond trading, |
wfe6.csv | Table 6, price earning ratio an gross dividend yield. |
*The file fdax97m.csv is too large and therefore not part of
the fBasics distribution. Please contact inf@rmetrics.org.
High Frequency Data for the AUDUSD and USDTHB:
audusd and usdthb archive high frequency exchange rates
for the Australian / US Dollar exchange rate in October 1997 and exchange
rates for the US Dollar / Thailand Bhat exchange rate in June 1997:
A comma delimited CSV file with 6 columns. The first column,
named XDATE, contains date/time entries in ISO-8601 format
as [CCYYMMDDhhmm], the second column, named DELAY, gives
the delay in minutes between the time stamp of Reuter's data
record and arrival time at the local database, the third column
named CONTRIBUTOR is Reuter's identification, a 4 character
code, the fourth and fifth column, named BID and ASK
are the bid and ask price quotations, and finally the sixth
column, named FLAG, is not used and has zeros as entries.
30 Minutes Data for the USDDEM Rate in Upsilon time:
usddem30u archives 30 min USDDEM bid and ask for the US Dollar
German Mark exchange rate ranging from 1992-10-01 00:09 until
1997-05-30 21:49.
A comma delimited CSV file with 3 columns. The first column,
named "%Y%m%d%H%M", contains date/time entries in
ISO-8601 format as [YYYYMMDDhhmm], the second column, named
BID, gives the bid prices, and the third column named
ASK, gives the ask prices retrieved from the Reuter's data
records.
30 Minutes Data for the USDCHF Rate:
usdchf archives 30 min USDCHF midprices for the US Dollar
Swiss Franc exchange rate ranging from 1996-04-01 until 2001-03-30.
A comma delimited CSV file with 2 columns. The first column,
named "%Y%m%d%H%M", contains date/time entries in
ISO-8601 format as [YYYYMMDDhhmm], the second column, named
USDCHF, gives the prices retrieved from the Reuter's data
records.
DAX Futures Data:
fdax9710 archives returns of minute-by-minute prices for
Dax Futures in October 1997:
A comma delimited CSV file with 2 columns. The first column,
named XDATE, contains date/time entries in ISO-8601 format
as [CCYYMMDDhhmm], the second column, named FDAX, gives
an averaged price of the Dax Futures, i.e. the mean of
all volume weighted time and sales within the same minute.
fdax97m archives returns for minute-by-minute prices for Dax
Futures in 1997: A comma delimited CSV file with 2 columns. The first
column, named XDATE, contains date/time entries in ISO-8601
format as [CCYYMMDDhhmm], the second column, named FDAX, gives
a minutely averaged price during opening hours of the exchange,
i.e. the mean of all volume weighted time and sales within the
same minute.
Log Returns for BMW Shares and NYSE Composite Index:
bmwres and nyseres archive log returns of the German
BMW stock listed in the German DAX30 and log returns of the NYSE
Composite Index, both on a daily trading day time scale just numbering
the log returns: A one column CSV file with column names BMW
or NYSERES, respectively. The entries are the differences
of the logarithmic prices on two succeeding trading days. nyse
contains two column data recors, the date and the NYSE Composite Index.
Jarque Bera Normality Test:
jbLM and jbALM are finite sample tables for the
Jarque Bera Lagrange multiplier and augmented Lagrange multiplier
normality test. The columns denote the sample sizes and the row the
probabilities.
Stable Parameter Estimation:
.PhiStable is a list object containing two tables for the
estimation of the parameters of a stable distribution using
McCullochs approach.
audusd
usdthb
usdthb
The data were collected by D. Wuertz and R. Schnidrig from the
Reuter's data feed.
fdax9710
fdax97m
The data were extracted from time and sales data records from
the Frankfurt Futures Exchange.
bmwres
The data were published in the EVIS software package.
nyse
nyseres
The data were downloaded from the web site of the New York Stock
Exchange and the residuals were calculated as logarithmic price
differences.
http://www.nyse.com.
jbLM
jbALM
Monte Carlo Simulations by D. Wuertz and H.G. Katzgraber.
## SOURCE("fBasics.12C-fBasicsData")
## plot -
xmpBasics("\nStart: Plot Residuals NYSE Composite Index > ")
data(nyseres)
x = as.ts(nyseres)
par(mfrow = c(2, 1), cex = 0.75)
plot(100*x, type = "l", col = "steelblue4",
main = "NYSE Composite Index")
grid()
plot(cumsum(x), type = "l", col = "steelblue4",
main = "Cumulated NYSE Index")
grid()