S&P Stock Market Data

Daily percentage returns for the S&P 500 stock index between 2001 and 2005.

• Year: The year that the observation was recorded

• Lag1: Percentage return for previous day

• Lag2: Percentage return for 2 days previous

• Lag3: Percentage return for 3 days previous

• Lag4: Percentage return for 4 days previous

• Lag5: Percentage return for 5 days previous

• Volume: Volume of shares traded (number of daily shares traded in billions)

• Today: Percentage return for today

• Direction: A factor with levels ‘Down’ and ‘Up’ indicating whether the market had a positive or negative return on a given day

Source

Raw values of the S&P 500 were obtained from Yahoo Finance and then converted to percentages and lagged.

from ISLP import load_data
Smarket = load_data('Smarket')
Smarket.columns

Index(['Year', 'Lag1', 'Lag2', 'Lag3', 'Lag4', 'Lag5', 'Volume', 'Today',
       'Direction'],
      dtype='object')

Smarket.shape

(1250, 9)

Smarket.columns

Index(['Year', 'Lag1', 'Lag2', 'Lag3', 'Lag4', 'Lag5', 'Volume', 'Today',
       'Direction'],
      dtype='object')

Smarket.describe().iloc[:,-4:]

	Lag4	Lag5	Volume	Today
count	1250.000000	1250.00000	1250.000000	1250.000000
mean	0.001636	0.00561	1.478305	0.003138
std	1.138774	1.14755	0.360357	1.136334
min	-4.922000	-4.92200	0.356070	-4.922000
25%	-0.640000	-0.64000	1.257400	-0.639500
50%	0.038500	0.03850	1.422950	0.038500
75%	0.596750	0.59700	1.641675	0.596750
max	5.733000	5.73300	3.152470	5.733000