Complete Data Set - For mining association rules in Indian Stock Market

The data is contained in the winrar file - 'DataSet-AssociationMining-India.rar' Once you open the above winrar file, you will see the below files & folders: - File: "IndiaData-ForAssociationMining.xlsx" is the primary data retrieved from 'Refinitiv-Datastream' which was used in the project. - Folder-1MetricsGT-NSE50 o This folder has MS-Excel macro files used to create return determinant data to be eventually used in the 'Final-Transaction-Table' from which associations would be mined. o This folder also has computed returns for different holding periods for different stocks considered in this study. File: "0_nYrRtnGTNSE50.xlsm" o This folder also has the 'Final-Sheet' used for mining of association rules. - Folder: 2Analysis-GTNSE50 o This folder has the R-program used to mine associations. It also has the final sheets used in association mining for different holding periods. And the output of the association rules mined is also stored here (File name: RulesRHS_1YrRtnGTNSE50.csv and so on) - Folder: 3Validation o This folder has data related to the validation carried out in the project. It has 2 sub-folders: § 1-MetricsForValidation: This folder has excel-macro files to compute the metrics required in the Final-Table for validation of the association rules. § 2-BetaCalc-PortRtns: This folder has the Final transaction sheet which will be later used to compute portfolio beta and portfolio returns for each association rule. This also has the computation of portfolio beta & portfolio returns for each of the 10 association rules analyzed in this paper. - Folder: 4LogitRegression o This folder has the 'R' program used to carry out Logit regression and different model consistency test. It also has the input file for the Logit regression (Filename: India-LogitRegression-csv.csv) o The sub-folder 'Regression_OP' has the output of Logit regression for all association rules for different holding periods.本数据集存储于WinRAR压缩包"DataSet-AssociationMining-India.rar"中。解压该压缩包后，将包含以下文件与文件夹： - 主文件："IndiaData-ForAssociationMining.xlsx" 为本项目所使用的核心原始数据，其源自路孚特Datastream(Refinitiv-Datastream)数据库。 - 文件夹：MetricsGT-NSE50 该文件夹内含用于生成收益决定因子数据的Microsoft Excel宏文件，此类数据最终将用于构建"Final-Transaction-Table"，进而从中挖掘关联规则。 该文件夹还包含本研究涉及的不同股票在不同持有期下的计算收益数据。 附属文件："0_nYrRtnGTNSE50.xlsm" 该文件夹同时包含用于关联规则挖掘的"Final-Sheet"工作表。 - 文件夹：2Analysis-GTNSE50 该文件夹内含用于挖掘关联规则的R语言程序，同时包含针对不同持有期开展关联规则挖掘所用的最终工作表。 关联规则挖掘的输出结果亦存储于此（文件名如：RulesRHS_1YrRtnGTNSE50.csv 等）。 - 文件夹：3Validation 该文件夹包含本项目中与验证环节相关的数据，下设2个子文件夹： § 1-MetricsForValidation：该文件夹内含用于计算验证关联规则所需的最终表中指标的Excel宏文件。 § 2-BetaCalc-PortRtns：该文件夹包含最终交易表，后续将用于计算每条关联规则对应的投资组合贝塔系数与投资组合收益；同时包含针对本论文中分析的10条关联规则的投资组合贝塔系数与投资组合收益计算结果。 - 文件夹：4LogitRegression 该文件夹内含用于执行Logit回归与各类模型一致性检验的R语言程序，同时包含Logit回归的输入文件（文件名：India-LogitRegression-csv.csv）。 子文件夹"Regression_OP"存储了针对不同持有期下所有关联规则的Logit回归输出结果。