Data for: Trends, Reversion, and Critical Phenomena in Financial Markets

These data accompany the publication "Trends, Reversion, and Critical Phenomena in Financial Markets".

They contain daily data from Jan 1992 to Dec 2019 on 24 financial markets, namely

- 6 equity indices: S&P 500, TSE 60, DAX 30, FTSE 100, Nikkei 225, Hang Seng
- 6 Interest rates for government bonds: US 10-year, Canada 10-year, Germany 10-year, UK 10-year, Japan 10-year, Australia 3-year
- 6 FX rates: CAD/USD, EUR/USD, GBP/USD, JPY/USD, AUD/USD, NZD/USD
- 6 Commodities: Crude Oil, Natural Gas, Gold, Copper, Soybeans, Live Cattle

The data are provided in 13 columns:

- Column 1: date
- Column 2: market
- Column 3: daily log return of futures on that market, normalized to have mean 0 and standard deviation 1 over the 28-year time period
- Columns 4-13: trend strengths in that market over 10 different time horizons of (2,4,8,16,32,64,128,256,512,1024) business days.

The trend strengths are defined in the accompanying paper. They are cut off at plus/minus 2.5.
The daily log returns were computed from daily futures prices, rolled 5 days prior to first notice, which were taken from Bloomberg.
The following mean returns and volatilites were used to normalize the daily log returns in column 3:

Market Mean St. Dev.

S&P 500 2.217% 1.100%
TSE 60 2.416% 1.067%
DAX 30 1.199% 1.366%
FTSE 100 1.053% 1.103%
Nikkei 225 -0.483% 1.486%
Hang Seng 0.768% 1.674%
US 10-year 3.734% 0.366%
Can. 10-year 3.637% 0.376%
Ger. 10-year 4.141% 0.337%
UK 10-year 2.983% 0.419%
Jap. 10-year 4.453% 0.249%
Aus. 3-year 3.029% 0.074%
CAD/USD 0.048% 0.479%
EUR/USD -0.222% 0.619%
GBP/USD 0.316% 0.597%
JPY/USD -0.761% 0.667%
AUD/USD 0.851% 0.725%
NZD/USD 1.563% 0.724%
Crude Oil 0.093% 2.243%
Natural Gas -2.649% 2.985%
Gold 0.580% 0.987%
Copper 0.936% 1.586%
Soybeans 0.631% 1.360%
Live Cattle 0.483% 0.894%