Baidu {CNLTtsa}

End of second returns for Google from 1st March 2011

Description

Often several trades per second of a stock occur; this dataset consists of the last quoted value for each second for 1st March 2011. Thus the finest sampling interval is one second, but as there are seconds with no trades, the data have an unequally spaced sampling regime.

Usage

data("Baidu")

Format

A data frame with 7984 observations on the following 3 variables.

Time

A variable with the time of the trade.

Seconds.index

An index representing the time (in seconds) from the start of the data, representing the sampling regime of the series.

Return

The return price of the stock.

References

Hamilton, J., Nunes, M. A, Knight, M. I. and Fryzlewicz, P. (2018) Complex-valued wavelet lifting and applications. Technometrics, 60 (1), 48-60, DOI 10.1080/00401706.2017.1281846.

Examples

data(Baidu)

plot(Baidu$Seconds.index,Baidu$Return,type="l")