Analysing *S&P 500 Index* downloaded from Quandl in *5.24* seconds with the following original description:

GSPC: S&P 500 Index

## Variables

This daily dataset contains *16072* rows and *7* columns with the overall number of *112504* records. As the dataset is made of several variables to analyse, please choose and click on one from the below list for futher univariate analysis:

# Overview

Until then, let us check a line chart of the dataset:

There can be seen the *6* variables on the vertical axis based on the date shown on the horizontal axis.

References:

- Tukey, J. W. (1977).
*Exploratory Data Analysis*, Reading Massachusetts: Addison-Wesley.
- Sarkar, Deepayan (2008)
*Lattice: Multivariate Data Visualization with R*, Springer.

# Pair-wise cross-correlation

We can compare the above visualized time-series for relationships between those by the cross-correlation function that is basically a simple Pearson correlation estimate when the lag is 0. The negative and positive numbers on the x axis below shows a lag or delay on a daily basis, which means that we are looking for a possible temporal effect between the variables.

References:

- Venables, W. N. and Ripley, B. D. (2002)
*Modern Applied Statistics with S*. Fourth Edition. Springer-Verlag.

*Open* and *High*

It seems that the cross-correlation estimate for *Open* and *High* is maximum at lag *0* being *1*. So it seems that *Open* and *High* are correlated.

*High* and *Low*

It seems that the cross-correlation estimate for *High* and *Low* is maximum at lag *0* being *1*. So it seems that *High* and *Low* are correlated.

*Low* and *Close*

It seems that the cross-correlation estimate for *Low* and *Close* is maximum at lag *0* being *1*. So it seems that *Low* and *Close* are correlated.

*Close* and *Volume*

It seems that the cross-correlation estimate for *Close* and *Volume* is maximum at lag *-23* being *0.75*. So it seems that *Close* and *Volume* are correlated.

*Volume* and *Adjusted Close*

It seems that the cross-correlation estimate for *Volume* and *Adjusted Close* is maximum at lag *23* being *0.75*. So it seems that *Volume* and *Adjusted Close* are correlated.