Multivariate time series

Visualizing Time Series Data in R

Arnaud Amsellem

Quantitative Trader and creator of the R Trader blog

Stocks

head(my_stocks)

    Stock A  Stock B   Stock C  Stock D   Stock E
1   -0.0320  -0.0092   -0.0286  -0.0314   -0.0209
2   -0.0358  -0.0148    0.0001  -0.0162    0.0016
3    0.0092   0.0126    0.0139  -0.0016   -0.0127
4    0.0149   0.0290    0.0377   0.0246    0.0332
5   -0.0226  -0.0084    0.0011  -0.0016   -0.0102
6   -0.0079  -0.0126   -0.0249  -0.0059   -0.0187

head(stock_weights)

       Stock A Stock B Stock C Stock D Stock E
Jan-16     0.1    0.30    0.40    0.15    0.05
Feb-16     0.4    0.20    0.30    0.10    0.00
Mar-16     0.5    0.05    0.05    0.15    0.25
Apr-16     0.5    0.15    0.25    0.05    0.05
May-16     0.2    0.20    0.20    0.00    0.40
Jun-16     0.3    0.40    0.10    0.10    0.10

Stacked chart

# stacked chart of the weights of 5 stocks in a portfolio
barplot(stock_weights, 
        col = c("lightblue", "red", "orange", "lightgreen", "darkblue"), 
        main = "Stocks weights")

ch3_vid2_slides.007.png

Correlation matrix with numbers

round(cor(my_stocks), digit = 4)

        Stock A  Stock B  Stock C  Stock D  Stock E
Stock A  1.0000   0.4841   0.4292   0.5085   0.4029
Stock B  0.4841   1.0000   0.5133   0.3955   0.4329
Stock C  0.4292   0.5133   1.0000   0.3628   0.3414
Stock D  0.5085   0.3955   0.3628   1.0000   0.2939
Stock E  0.4029   0.4329   0.3414   0.2939   1.0000

Correlation matrix with scatterplots

pairs(my_stocks, 
     lower.panel = NULL, 
 main = "Stocks Correlation Scatterplots")

ch3_vid2_slides.020.png

corrplot()

corrplot(my_stocks, 
 method = "number", 
 type = "upper")

ch3_vid2_slides.027.png

Let's practice!

Visualizing Time Series Data in R