quotes {sde}

Daily closings of 20 financial time series from 2006-01-03 to 2007-12-31

Description

This dataset contains the daily closings of 20 assets from NYSE/NASDAQ. Quotes from 2006-01-03 to 2007-12-31.

It is an object of class zoo. Original data contained missing data and interpolated. Used as example data to test the Markov Operator distance for discretely observed diffusion processes.

Usage

data(quotes)

References

De Gregorio, A. Iacus, S.M. (2008) Clustering of discretely observed diffusion processes, Computational Statistics and Data Analysis, 54(12), 598-606, doi:10.1016/j.csda.2009.10.005.

Examples

data(quotes)

plot(quotes)

d <- MOdist(quotes)
cl <- hclust( d )
groups <- cutree(cl, k=4)

cmd <- cmdscale(d)
plot( cmd, col=groups)
text( cmd, labels(d) , col=groups)

plot(quotes, col=groups)

plot(quotes, col=groups,ylim=range(quotes))