New York Stock Exchange Data#
Data consisting of the Dow Jones returns, log trading volume, and log volatility for the New York Stock Exchange over a 20 year period
date: Dateday_of_week: Day of the weekDJ_return: Return for Dow Jones Industrial Averagelog_volume: Log of trading volumelog_volatility: Log of volatilitytrain: For the first 4,281 observations, this is set toTrue
Source#
B. LeBaron and A. Weigend (1998), IEEE Transactions on Neural Networks 9(1): 213-220.
from ISLP import load_data
NYSE = load_data('NYSE')
NYSE.columns
Index(['day_of_week', 'DJ_return', 'log_volume', 'log_volatility', 'train'], dtype='object')
NYSE.shape
(6051, 5)
NYSE.columns
Index(['day_of_week', 'DJ_return', 'log_volume', 'log_volatility', 'train'], dtype='object')
NYSE.describe()
| DJ_return | log_volume | log_volatility | |
|---|---|---|---|
| count | 6051.000000 | 6051.000000 | 6051.000000 |
| mean | 0.000177 | -0.008336 | -9.842713 |
| std | 0.008436 | 0.233684 | 0.753937 |
| min | -0.047177 | -1.322425 | -13.127403 |
| 25% | -0.004640 | -0.159956 | -10.334196 |
| 50% | 0.000125 | -0.013249 | -9.843592 |
| 75% | 0.004792 | 0.131632 | -9.379632 |
| max | 0.049517 | 1.039370 | -7.477833 |