Repérer les anomalies

Importer et gérer des données financières dans R

Joshua Ulrich

Quantitative Analyst & quantmod Co-Author and Maintainer

Visualiser les données

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

"DGS10"

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

Gérer les valeurs manquantes

# 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")

Gérer les valeurs manquantes

Visualiser les données

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

"MSFT"

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

Visualiser les données

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

"MSFT"

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

Croiser les sources

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

"MSFT"

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

Croiser les sources

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

"MSFT"

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

Croiser les sources

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

"MSFT"

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

Exemple de fractionnement d'actions

Scission d'actions MSFT 2 pour 1

Exemple de dividende en actions

MSFT verse un dividende de 3 $ par action

Différences entre sources de données

Yahoo Finance :
- Prix OHLC bruts
- Cours de clôture ajusté pour fractionnement et dividendes
Google Finance :
- Prix OHLC ajustés pour fractionnement

Passons à la pratique !

Importer et gérer des données financières dans R