New York Stock Exchange Data

Contents

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: 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.

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
Contents