Data

DATA SPLITTING

<-----------------------training1----------------------I--------------------------training2-----------------------I-------------------testing------------------------>

We split the total dataset into the training and testing part, where testing data contains 252 samples (~ trading days in a year) and training data contains total data minus 252 samples. We use the first samples (~ total data minus 2520) as training1 in the training data to fit the Facebook prophet model and make predictions on the data set training2 (~ 2300 samples). On training2, we also incorporate macroeconomic features to fit a linear model. Finally, we make predictions on testing.

DATA ANALYSIS

Data Sounce

S&P 500 Market Data (sp500_df)

This dataframe contains historical data for the S&P 500 index.

The columns are: Date, Open, High, Low, Close.

The dates range from Jan 3, 1978 to May 14, 2021. The data is recorded daily.

downloaded from www.wsj.com

Earning-Per-share (sp500eps_df)

This dataset contains the historical Earning-Per-share data for S&P 500.

The columns are: Date, Value.

The dates range from Jan, 1871 to Dec, 2020. The data is reported monthly (at the end of the month).

downloaded from https://www.quandl.com/

Price-to-Earning Ratio Data (sp500per_df)

This dataframe contains historical price-to-earnings ratio for the S&P 500.

The columns are: date, value.

The dates range from Dec 1927 to Dec 2020. The data is recorded monthly.

downloaded from https://www.quandl.com/

Treasury Bond Yield Data (bond_df)

This dataset contains the historical bond yields for 10-year US treasury bonds.

The columns are: Date, Value.

The dates range from Jan 1, 1962 to May 6, 2021. The data is recorded daily.

downloaded from https://fred.stlouisfed.org/

Federal Funding Rate Data (ffr_df)

This dataset contains the historical Federal Funding Rates data.

The columns are: DATE, FEDFUNDS.

The dates range from July, 1954 to April, 2021. The data is reported monthly (on the first day of the month).

downloaded from https://fred.stlouisfed.org/

Total Federal Assets (fta_df)

This dataset contains the historical Total Federal Assets data.

The columns are: DATE, RESPPANWW.

The dates range from Dec 18, 2002 to May 12, 2021. The data is reported weekly (on Wednesdays).

downloaded from https://fred.stlouisfed.org/

Advance Retail Sales: Retail and Food Services, Total (rfs_df)

This dataset contains the retail sales data of U.S.

The columns are: Date, Value.

The dates range from January, 1871 to May 2021. The data is reported monthly (at the end of the month).

downloaded from https://www.quandl.com

Unemployment rates (une_df)

This dataset contains the historical U.S. unemployment rate data

The columns are: DATE,UNRATE

The dates range from Jan 1992 to Apr 2021. The data is reported monthly (at the beginning of the month).

downloaded from https://fred.stlouisfed.org/

Producer Price Index of All Commodities (ppi_df)

This dataset contains the Producer Price Index of All Commodities

The columns are: DATE,PPIACO

The dates range from Jan 1913 to Jan 2021. The data is reported monthly (at the beginning of the month).

downloaded from https://fred.stlouisfed.org/

NYSE ARCA oil index(nao_df)

This dataset contains the NYSE ARCA oil index.

The dates range from 04/30/09 to 05/25/21. The data is reported daily.

The columns are Date, Open, High, Low, Close

downloaded from www.wsj.com

WTI oil index (wti_df)

This dataset contains the WTI oil index.

The dates range from 1986-01-02 to 2021-05-17

The columns are DATE,DCOILWTICO

downloaded from https://fred.stlouisfed.org/