fChange (version 0.2.1)

Stock: Intra-Day Stock Price Data Sets

Description

Stock prices in one minute resolution are recorded for Bank of America, Walmart, Disney, Chevron, IBM, Microsoft, CocaCola, Exon mobile, McDonalds and Microsoft. The time period that the observations span is given in the column names of each stock data. During each day, stock price values were recorded in one-minute intervals from 9:30 AM to 4:00 PM EST. The columns display the day, and the rows display the time at which the stock price is recorded.

Usage

Stock

Value

Several Stock Price Data Sets:

Walmart

Walmart Stock Price Data Set taken from 06/15/2006 to 04/02/2007

Disney

Disney Stock Price Data Set taken from 06/15/2006 to 04/02/2007

ExonMobile

Exon Mobile Stock Price Data Set taken from 06/15/2006 to 04/02/2007

IBM

IBM Stock Price Data Set taken from 06/15/2006 to 04/02/2007

CitiGroup

Citi Group Stock Price Data Set taken from 06/15/2006 to 04/02/2007

McDonalds

McDonalds Stock Price Data Set taken from 06/15/2006 to 04/02/2007

Microsoft

Microsoft Stock Price Data Set taken from 06/15/2006 to 04/02/2007

BankOfAmerica

Bank Of America Stock Price Data Set taken from 06/15/2006 to 04/02/2007

Chevron

Chevron Stock Price Data Set taken from 06/15/2006 to 04/02/2007

CocaCola

Coca Cola Stock Price Data Set taken from 06/15/2006 to 04/02/2007

Format

An object of class data.table or data.frame.

Examples

# NOT RUN {
 library(fda)
 # transform first 100 days of Chevron data into functional data object
 data = as.matrix(Stock$Chevron[,1:100])
 # First need to transform the data to obtain the log returns
 temp1=data
 for(j in c(1:dim(data)[1])){
  for(k in c(1:dim(data)[2])){
    data[j,k]=100*(log(temp1[j,k])-log(temp1[1,k]))
  }
}
# Transform the Log return data into functional data
#using 21 bspline basis functions on [0,1]
D=21
basis =  create.bspline.basis(rangeval = c(0, 1), nbasis = D)
Domain = seq(0, 1, length = nrow(data))
f_data = Data2fd(argvals = Domain , data, basisobj = basis)
plot(f_data)
# }