NYSE {ISLR2}

New York Stock Exchange Data

Description

Data consisting of the Dow Jones returns, log trading volume, and log volatility for the New York Stock Exchange over a 20 year period

Usage

Portfolio

Format

A data frame with 6,051 observations and 6 variables:

date

Date

day_of_week

Day of the week

DJ_return

Return for Dow Jones Industrial Average

log_volume

Log of trading volume

log_volatility

Log of volatility

train

For the first 4,281 observations, this is set to TRUE

Source

B. LeBaron and A. Weigend (1998), IEEE Transactions on Neural Networks 9(1): 213-220.

References

James, G., Witten, D., Hastie, T., and Tibshirani, R. (2021) An Introduction to Statistical Learning with applications in R, Second Edition, https://www.statlearning.com, Springer-Verlag, New York

Examples

attach(NYSE)
plot(log_volatility)