Factors {portsort}

Cryptocurrency Returns and Volume Data

Description

The data set includes lagged log returns, lagged volume denominated in Bitcoin and forward log returns aggregated every 24-hours for a cross-section of 26 cryptocurrency pairs from the 1st January 2017 to 9th September 2018. The data was downloaded from CryptoCompare - a free API accessible at https://min-api.cryptocompare.com

Usage

data("Factors")

Format

A list of three xts objects including lagged returns (R.Lag), lagged volumes (V.Lag) and forward returns (R.Forward).

Source

https://min-api.cryptocompare.com

Examples

# Load data
data(Factors)
# Unlist the data
R.Forward = Factors[[1]]; R.Lag = Factors[[2]]; V.Lag = Factors[[3]]
head(V.Lag[1:5,1:5])