BasicsData              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
     of the 'fBasics' library. Included are two data files with
     tick-by-tick FX data collected from a Reuters data feed, minute-by
     minute DAX Futures prices, minutely time and sales DAX Futures
     data, daily log-returns of German BMW Stock Prices, and daily
     log-returns of the NYSE Composite Index. Additionally, this data
     collection holds the timezone data file with all available
     ``Ical'' time zone names. 

     The data sets are:

       'audusd.csv'    Reuters Tick-by-Tick AUDUSD rates 1997-10,
       'usdthb.csv'    Reuters Tick-by-Tick USDTHB rates 1997,
       '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,
       'nyseres.csv'   Daily log Returns of the NYSE Composite Index.

     *The file 'fdax97m.csv' is too large and therefore not part of 
     the 'fBasics' distribution. Please contact _inf@rmetrics.org_.

     Additionally the timezone datafile is:

       'timezones.db'  file with all available Ical time zone names.

_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. 

     *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. 

     *Calendar Data:* 

      'holidays.db.R' is the database of world wide holidays with
     informations collected from several sources on the internet. 
      'timezones.csv' is a list of timezones information extracted from
     Olsen's database. Downloadable from 
      _ftp://elsie.nci.nih.gov/pub/_

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

     'audusd'
      '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.

     '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_.

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

     ##  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()

