fBasics (version 4041.97)

fBasicsData: fBasics data sets

Description

The following data sets are part of this package:

Capitalization	Market capitalization of domestic companies,
cars2	Data for various car models,
DowJones30	Down Jones 30 stocks,
HedgeFund	Hennessee Hedge Fund Indices,
msft.dat	Daily Microsoft OHLC prices and volume,
nyse	NYSE composite Index,
PensionFund	Swiss Pension Fund LPP-2005,
swissEconomy	Swiss Economic Data,
SWXLP	Swiss Pension Fund LPP-2000,
usdthb	Tick data of USD to THB.

Details

All datasets are data frames. A brief description is given below.

Capitalization:
Capitalization contains market capitalization of 13 domestic companies for 6 years (from 2003 to 2008) in USD millions. Each row contains the data for one company/stock exchange.

cars2:
cars2 contains columns rowNames (model), Price, Country, Reliability, Mileage, (Type), (Weight), Disp. (engine displacement) and HP (net horsepower) reprsenting the indicated properties of 60 car models.

DowJones30:
DowJones30 contains 2529 daily observations from the ‘Dow Jones 30’ Index series. The first row contains the dates (from 1990-12-31 to 2001-01-02). Each of the remaining thirty columns represents the closing price of a stock in the Index.

HedgeFund:
HedgeFund contains monthly percentage returns of 16 hedge fund strategies from Hennessee Group LLC for year 2005.

msft.dat:
msft.dat contains daily prices (open, high, low and close) and volumes for the Microsoft stocks. It is a data frame with column names "%Y-%m-%d", "Open", "High", "Low", "Close", "Volume".

Note: there is a dataset, MSFT, in package timeSeries which contains the same data but is of class "timeSeries".

nyse:
nyse contains daily records of the NYSE Composite Index from 1966-01-04 to 2002-12-31 (9311 observations). The data is in column "NYSE" (second column). The first column contains the dates.

PensionFund:
PensionFund is a daily data set of the Swiss pension fund benchmark LPP-2005. The data set ranges from 2005-11-01 to 2007-04-11. The columns are named: SBI, SPI, SII, LMI, MPI, ALT, LPP25, LPP40, LPP60.

swissEconomy:
swissEconomy contains the GDP per capita (GDPR), exports (EXPO), imports (IMPO), interest rates (INTR), inflation (INFL), unemployment (UNEM) and population (POPU) foryears 1964 to 1999 for Switzerland.

SWXLP:
SWXLP is a daily data set of the Swiss pension fund benchmark LPP-2000. The data set ranges from 2000-01-03 to 2007-05-08 (1917 observations). The first column contains the dates. The remaining columns are named: SBI, SPI, SII, LP25, LP40, LP60.

usdthb:
usdthb Tick data of US Dollar (USD) in Thailand Bhat (THB) collected from Reuters. The date is in the first column in YYYYMMDDhhmm format. The remaining columns contain: delay time (DELAY), contributor (CONTRIBUTOR), bid (BID) and ask (ASK) prices, and quality flag (FLAG). It covers the Asia FX crisis in June 1997.

References

Capitalization:
World Federation of Stock Exchanges, http://www.world-exchanges.org/statistics.

cars2:
Derived from the car90 dataset within the rpart package. The car90 dataset is based on the car.all dataset in S-PLUS. Original data comes from: April 1990, Consumer Reports Magazine, pages 235-255, 281-285 and 287-288.

DowJones30
https://www.yahoo.com.

HedgeFund:
http://www.hennesseegroup.com/indices/returns/year/2005.html.

msft.dat:
https://www.yahoo.com.

nyse:
https://www.nyse.com.

PensionFund:
SBI, SPI, SII: SIX (Swiss Exchange Zurich); LPP25, LPP40, LPP60: Banque Pictet Geneva; LMI, MPI, ALT: Recalculated from the indices and benchmarks.

swissEconomy:
https://www.oecd.org/ and https://www.imf.org/.

SWXLP:
SBI, SPI, SII: SIX (Swiss Exchange Zurich); LPP25, LPP40, LPP60: Banque Pictet Geneva.

usdthb:
Reuters Select Feed Terminal (1997).

Examples

## Plot DowJones30 Example Data Set
series <- timeSeries::as.timeSeries(DowJones30)
head(series)
plot(series[,1:6], type = "l")

## msft.dat contains (almost?) the same data as MSFT in package timeSeries
data(MSFT, package = "timeSeries")

m1 <- as.matrix(msft.dat[, -1]) # drop date stamps in column 1
m2 <- as.matrix(MSFT)
all.equal(m1, m2, check.attributes = FALSE) # TRUE
## compare the dates:
all.equal(format(msft.dat[ , 1]), format(time(MSFT))) # TRUE