SP500Stocks¶

Daily returns of ten S&P 500 stocks.

Daily simple returns of ten large-capitalisation S&P 500 stocks, spanning a diverse set of sectors (technology, retail, finance, energy, healthcare, consumer goods): Apple (AAPL), Amazon (AMZN), IBM (IBM), Intel (INTC), Johnson & Johnson (JNJ), JPMorgan (JPM), Coca-Cola (KO), Microsoft (MSFT), Walmart (WMT) and ExxonMobil (XOM). The returns are computed from split-adjusted closing prices over February 2013 to February 2018 (1,257 trading days), a subset of the popular "S&P 500" stock dataset, and are expressed as percentages (a return of 1.0 means +1%).

Each observation is one trading day: the features are that day's returns for the ten stocks, and the target is the next trading day's return of an equal-weighted portfolio of the ten (a simple market-direction forecasting target). The features on their own are a natural fit for the online covariance estimators in river.covariance.

Attributes¶

• desc

  Return the description from the docstring.

• path

Methods¶

References¶

• S&P 500 stock data (Kaggle)