fBasicsData             package:fBasics             R Documentation

_f_B_a_s_i_c_s _D_a_t_a _S_e_t_s

_D_e_s_c_r_i_p_t_i_o_n:

     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_.

_D_e_t_a_i_l_s:

     *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. 

_S_o_u_r_c_e:

     '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.

_E_x_a_m_p_l_e_s:

     ## 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()

