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Importera och hantera finansiella data i R

Joshua Ulrich

Quantitative Analyst & quantmod Co-Author and Maintainer

Visualisera data

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

"DGS10"

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

Hantera saknade värden

# 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")

Hantera saknade värden

Visualisera data

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

"MSFT"

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

Visualisera data

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

"MSFT"

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

Jämför datakällor

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

"MSFT"

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

Jämför datakällor

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

"MSFT"

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

Jämför datakällor

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

"MSFT"

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

Exempel på aktiesplit

MSFT-aktien delas 2-för-1

Exempel på aktieutdelning

MSFT betalar en utdelning på $3 per aktie

Skillnader mellan datakällor

Yahoo Finance:
- Råa OHLC-priser
- Slutkurs justerad för split och utdelning
Google Finance:
- OHLC-priser justerade för split

Nu kör vi en övning!

Importera och hantera finansiella data i R