Daily percentage returns for the S&P 500 stock index between 2001 and 2005.
A data frame with 1250 observations on the following 9 variables.
The year that the observation was recorded
Percentage return for previous day
Percentage return for 2 days previous
Percentage return for 3 days previous
Percentage return for 4 days previous
Percentage return for 5 days previous
Volume of shares traded (number of daily shares traded in billions)
Percentage return for today
A factor with levels
Up indicating whether the market had a positive or negative
return on a given day
Raw values of the S&P 500 were obtained from Yahoo Finance and then converted to percentages and lagged.
James, G., Witten, D., Hastie, T., and Tibshirani, R. (2013) An Introduction to Statistical Learning with applications in R, https://www.statlearning.com, Springer-Verlag, New York