Checking for weirdness

Importing and Managing Financial Data in R

Joshua Ulrich

Quantitative Analyst & quantmod Co-Author and Maintainer

Visualize Data

getSymbols("DGS10", src = "FRED")

"DGS10"

treasury_10 <- DGS10["1982-02"]
plot(treasury_10, main = "10-Year Constant Maturity Treasury Rate")

Handle missing values

# Fill NA using last observation carried forward
locf <- na.locf(treasury_10)

# Fill NA using linear interpolation
approx <- na.approx(treasury_10)

# Fill NA using spline interpolation
spline <- na.spline(treasury_10)

# Merge into one object
na_filled <- merge(locf, approx, spline)

# Plot combined object
plot(na_filled, col = c("black", "red", "green"), 
     main = "Compare Interpolation Methods")

Handle missing values

Visualize data

getSymbols("MSFT", from = "2004-07-01", to = "2004-12-31", src = "google")

"MSFT"

plot(Cl(MSFT), main = "Microsoft (Google Finance)")

Visualize data

getSymbols("MSFT", from = "2004-07-01", to = "2004-12-31", src = "google")

"MSFT"

plot(Cl(MSFT), main = "Microsoft (Google Finance)")

Cross-reference sources

getSymbols("MSFT", from = "2004-07-01", to = "2004-12-31")

"MSFT"

plot(Cl(MSFT), main = "Microsoft (Yahoo Finance)")

Cross-reference sources

getSymbols("MSFT", from = "2004-07-01", to = "2004-12-31")

"MSFT"

plot(Ad(MSFT), main = "Microsoft (Yahoo Finance-Adjusted)")

Cross-reference sources

getSymbols("MSFT", from = "2004-07-01", to = "2004-12-31")

"MSFT"

plot(Ad(MSFT), main = "Microsoft (Yahoo Finance—Adjusted)")

Stock split example

MSFT stock splits 2-for-1

Stock dividend example

MSFT issues a $3 per share dividend

Data source differences

Yahoo Finance:
- Raw OHLC prices
- Split- and dividend-adjusted close
Google Finance:
- Split-adjusted OHLC prices

Let's practice!

Importing and Managing Financial Data in R