Table 10 The 60 financial and economical features of the raw data
From: Predicting the daily return direction of the stock market using hybrid machine learning algorithms
Group | Name | Description | Source/Calculation |
|---|---|---|---|
| Â | Date_SPY | trading dates considered | finance.yahoo.com |
Close_SPY | closing prices of SPY on the trading days | finance.yahoo.com | |
SPY return in current and three previous days | |||
| Â | SPYt | The return of the SPDR S&P 500 ETF (SPY) in day t. | finance.yahoo.com / (p(t) - p(t-1))/p(t-1) |
SPYt1 | The return of the SPY in day t-1. | finance.yahoo.com / (p(t-1) - p(t-2))/p(t-2) | |
SPYt2 | The return of the SPY in day t-2. | finance.yahoo.com / (p(t-2) - p(t-3))/p(t-3) | |
SPYt3 | The return of the SPY in day t-3. | finance.yahoo.com / (p(t-3) - p(t-4))/p(t-4) | |
Relative difference in percentage of the SPY return | |||
| Â | RDP5 | The 5-day relative difference in percentage of the SPY. | (p(t) - p(t-5))/p(t-5) * 100 |
RDP10 | The 10-day relative difference in percentage of the SPY. | (p(t) - p(t-10))/p(t-10) * 100 | |
RDP15 | The 15-day relative difference in percentage of the SPY. | (p(t) - p(t-15))/p(t-15) * 100 | |
RDP20 | The 20-day relative difference in percentage of the SPY. | (p(t) - p(t-20))/p(t-20) * 100 | |
Exponential moving averages of the SPY return | |||
| Â | EMA10 | The 10-day exponential moving average of the SPY. | p(t) * (2/(10+1)) + EMA10 (t-1) * (1-2/(10+1)) |
EMA20 | The 20-day exponential moving average of the SPY. | p(t) * (2/(20+1)) + EMA20 (t-1) * (1-2/(20+1)) | |
EMA50 | The 50-day exponential moving average of the SPY. | p(t) * (2/(50+1)) + EMA50 (t-1) * (1-2/(50+1)) | |
EMA200 | The 200-day exponential moving average of the SPY. | p(t) * (2/(200+1)) + EMA200 (t-1) * (1-2/(200+1)) | |
T-bill rates (in day t) | |||
| Â | T1 | 1-month T-bill rate, secondary market, business days, discount basis. | H. 15 Release - Federal Reserve Board of Governors (https://research.stlouisfed.org/fred2/series/DGS5/downloaddata) |
T3 | 3-month T-bill rate, secondary market, business days, discount basis. | H. 15 Release - Federal Reserve Board of Governors (https://research.stlouisfed.org/fred2/series/DGS5/downloaddata) | |
T6 | 6-month T-bill rate, secondary market, business days, discount basis. | H. 15 Release - Federal Reserve Board of Governors (https://research.stlouisfed.org/fred2/series/DGS5/downloaddata) | |
T60 | 5-year T-bill constant maturity rate, secondary market, business days. | H. 15 Release - Federal Reserve Board of Governors (https://research.stlouisfed.org/fred2/series/DGS5/downloaddata) | |
T120 | 10-year T-bill constant maturity rate, secondary market, business days. | H. 15 Release - Federal Reserve Board of Governors(https://research.stlouisfed.org/fred2/series/DGS10?catbc=1&utm_expid=19978471-Srcl7QpGidAURO4vg_Q.1&utm_referrer=https%3A%2F%2Fresearch.stlouisfed.org%2Ffred2%2Frelease%3Frid%3D18) | |
Certificate of deposit rates (in day t) | |||
| Â | CD1 | Average rate on 1-month neogtiable certificates of deposit (secondary market), quoted on an investment basis. | H. 15 Release - Federal Reserve Board of Governors |
CD3 | Average rate on 3-month neogtiable certificates of deposit (secondary market), quoted on an investment basis. | H. 15 Release - Federal Reserve Board of Governors | |
CD6 | Average rate on 6-month neogtiable certificates of deposit (secondary market), quoted on an investment basis. | H. 15 Release - Federal Reserve Board of Governors | |
Financial and economical indicators (in day t) | |||
| Â | Oil | Relative change in the price of the crude oil (Cushing, OK WTI Spot Price FOB (dollars per barrel)). | Energy Inormation Administration, http://tonto.eia.doe.gov/dnav/pet/hist/rwtcd.htm (work on cleaning the price column first using the SPY dates as control, then cal the relative change) |
Gold | Relative change in the gold price | usagold.com (use FireFox to Select All, then copy and paste to an Excel file) (the dates used by USAGOLD are not matching with the SPY prices from yahoo.finance. For example, after 06/09/2004. We still clean/make up/delete the gold prices based on the dates of SPY prices from finance.yahoo.com. Use the same procedure in the whole data set: Take the average of the two closest data with the missing one in the middle. Then delete the mismatching one, and cal the relatvie difference as before. Another example, the data in 2011, all Friday's prices were recorded as Sunday's prices, so we estimated Friday's prices with the average of Thursday and Sunday's prices. Then deleted Sunday's prices. If there are n continuous values missing, then take the average of the n available values on each side of these n missing values, use the average for all n missing values) | |
CTB3M | Change in the market yield on US Treasury securities at 3-month constant maturity, quoted on investment basis. | H. 15 Release - Federal Reserve Board of Governors | |
CTB6M | Change in the market yield on US Treasury securities at 6-month constant maturity, quoted on investment basis. | H. 15 Release - Federal Reserve Board of Governors | |
CTB1Y | Change in the market yield on US Treasury securities at 1-year constant maturity, quoted on investment basis. | H. 15 Release - Federal Reserve Board of Governors | |
CTB5Y | Change in the market yield on US Treasury securities at 5-year constant maturity, quoted on investment basis. | H. 15 Release - Federal Reserve Board of Governors | |
CTB10Y | Change in the market yield on US Treasury securities at 10-year constant maturity, quoted on investment basis. | H. 15 Release - Federal Reserve Board of Governors | |
AAA | Change in the Moody's yield on seasoned corporate bonds - all industries, Aaa. | H. 15 Release - Federal Reserve Board of Governors | |
BAA | Change in the Moody's yield on seasoned corporate bonds - all industries, Baa. | H. 15 Release - Federal Reserve Board of Governors | |
The term and default spreads | |||
| Â | TE1 | Term spread between T120 and T1. | TE1 = T120 - T1 |
TE2 | Term spread between T120 and T3. | TE2 = T120 - T3 | |
TE3 | Term spread between T120 and T6. | TE3 = T120 - T6 | |
TE5 | Term spread between T3 and T1. | TE5 = T3 - T1 | |
TE6 | Term spread between T6 and T1. | TE6 = T6 - T1 | |
DE1 | Default spread between BAA and AAA. | DE1 = BAA - AAA | |
DE2 | Default spread between BAA and T120. | DE2 = BAA - T120 | |
DE4 | Default spread between BAA and T6. | DE4 = BAA - T6 | |
DE5 | Default spread between BAA and T3. | DE5 = BAA - T3 | |
DE6 | Default spread between BAA and T1. | DE6 = BAA - T1 | |
DE7 | Default spread between CD6 and T6. | DE7 = CD6 - T6 | |
Exchange rate between USD and four other currencies (in day t) | |||
| Â | USD_Y | Relative change in the exchange rate between US dollar and Japanese yen. | |
USD_GBP | Relative change in the exchange rate between US dollar and British pound. | ||
USD_CAD | Relative change in the exchange rate between US dollar and Canadian dollar. | http://www.investing.com/currencies/usd-cad-historical-data | |
USD_CNY | Relative change in the exchange rate between US dollar and Chinese Yuan (Renminbi). | http://www.investing.com/currencies/usd-cny-historical-data | |
The return of the other seven world major indices (in day t) | |||
| Â | HSI | Hang Seng index return in day t. | finance.yahoo.com |
SSE Composite | Shang Hai Stock Exchange Composite index return in day t. | finance.yahoo.com | |
FCHI | CAC 40 index return in day t. | finance.yahoo.com | |
FTSE | FTSE 100 index return in day t. | finance.yahoo.com | |
GDAXI | DAX index return in day t. | finance.yahoo.com | |
DJI | Dow Jones Industrial Average index return in day t. | finance.yahoo.com(no download function for this one); measuringworth.com/datasets/DJA/result.php | |
IXIC | NASDAQ Composite index return in day t. | finance.yahoo.com | |
SPY trading volume (in day t) | V | Relative change in the trading volume of S&P 500 index (SPY) | finance.yahoo.com |
The return of the eight big companies in S&P 500 (in day t) | |||
| Â | AAPL | Apple Inc stock return in day t. | finance.yahoo.com |
MSFT | Microsoft stock return in day t. | finance.yahoo.com | |
XOM | Exxon Mobil stock return in day t. | finance.yahoo.com | |
GE | General Electric stock return in day t. | finance.yahoo.com | |
JNJ | Johnson and Johnson stock return in day t. | finance.yahoo.com | |
WFC | Wells Fargo stock return in day t. | finance.yahoo.com | |
AMZN | Amazon.com Inc stock return in day t. | finance.yahoo.com | |
JPM | JPMorgan Chase & Co stock return in day t. | finance.yahoo.com | |