R Dataset / Package ISLR / Smarket

On this R-data statistics page, you will find information about the Smarket data set which pertains to S&P Stock Market Data. The Smarket data set is found in the ISLR R package. You can load the Smarket data set in R by issuing the following command at the console data("Smarket"). This will load the data into a variable called Smarket. If R says the Smarket data set is not found, you can try installing the package by issuing this command install.packages("ISLR") and then attempt to reload the data with the library() command. If you need to download R, you can go to the R project website. You can download a CSV (comma separated values) version of the Smarket R data set. The size of this file is about 70,464 bytes.

S&P Stock Market Data

Description

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

Usage

Smarket

Format

A data frame with 1250 observations on the following 9 variables.

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.

References

Games, G., Witten, D., Hastie, T., and Tibshirani, R. (2013) An Introduction to Statistical Learning with applications in R, www.StatLearning.com, Springer-Verlag, New York

Examples

summary(Smarket)
lm(Today~Lag1+Lag2,data=Smarket)

Dataset imported from https://www.r-project.org.

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