INET/BFA OHLCV JSE Test Data Samples

Published: 31-10-2019| Version 1 | DOI: 10.17632/xt9hb8dzft.1
Contributor:
Timothy Gebbie

Description

This test data set provides daily sampled asset allocation test data for Bond, Cash and Equity sector data-studies on the Johannesburg Stock Exchange. It is intended for educational and replication purposes. The data set is a combined test set of ALBI TRI (All Bond Total Return Index test data), JIBAR (Johannesburg Interbank Acceptance Rate Index test data), and JSE ICB (Index Classification Benchmark) total return data for the period 2005-2017. The data is stale and there is no intention to update the data. The data was prepared using INET/BFA data-interfaces under a once-off perpetual research data purchase agreement and post-processed in MATLAB. The data can be made current by updating it using INET/BFA, Datastream, Thomson-Reuters Tick History or Bloomberg Pro data interfaces. The data is not error free and is not fit for any particular commercial purpose given that it is out-of-date and provide "as-is" for research replication, teaching and learning. Use case: The data use case is for teaching and learning purposes, and to provide transparent standard re-usable test cases for machine learning and statistical finance applications relating to asset allocation studies on the JSE.

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