Yahoo Finance 데이터를 사용하여 두 주식의 공적분 통합 테스트

Question

Yahoo Finance의 데이터를 사용하여 두 주식에 대해 공동 통합 테스트를 수행하려고합니다. 내가 읽은 바에 따르면 야후 데이터를 검색하는 데 덜 복잡한 방법이 있습니다. 두 증권을 검색하고 이들을 stk1 및 stk2으로 정의하고 검색된 데이터의 시간 프레임을 조정할 수 있어야합니다. 여기까지 내가 지금까지 가지고있는 것이있다.

library(zoo)    
library(tseries)   

# Read the CSV files into data frames 
stk1 <- read.csv("http://ichart.finance.yahoo.com/table.csv?s=CAT&a=8&b=1&c=2009&d=12&e=31&f=2010&g=d&ignore=.csv", stringsAsFactors=F) 
stk2 <- read.csv("http://ichart.finance.yahoo.com/table.csv?s=DD&a=8&b=1&c=2009&d=12&e=31&f=2010&g=d&ignore=.csv", stringsAsFactors=F) 

# The first column contains dates. as.Date converts strings into Date objects 
stk1_dates <- as.Date(stk1[,1]) 
stk2_dates <- as.Date(stk2[,1]) 

# The seventh column contains the adjusted close. We use the zoo function to 
# create zoo objects from that data. The function takes two arguments: a 
# vector of data and a vector of dates. 
stk1 <- zoo(stk1[,7], stk1_dates) 
stk2 <- zoo(stk2[,7], stk2_dates) 

# The merge function combines two (or more) zoo objects, 
# computing either their intersection (all=FALSE) or union (all=TRUE). 
t.zoo <- merge(stk1, stk2, all=FALSE) 

# At this point, t.zoo is a zoo object with two columns: stk1 and stk2. 
# Most statistical functions expect a data frame for input, so we convert. 
t <- as.data.frame(t.zoo) 

# Tell the user what dates are spanned by the data. 
cat("Date range is", format(start(t.zoo)), "to", format(end(t.zoo)), "\n") 

m <- lm(stk1 ~ stk2 + 0, data=t) 
beta <- coef(m)[1] 
cat("Assumed hedge ratio is", beta, "\n") 

sprd <- t$stk1 - beta*t$stk2 
ht <- adf.test(sprd, alternative="stationary", k=0) 
cat("ADF p-value is", ht$p.value, "\n") 

if (ht$p.value < 0.05) { 
    cat("The spread is likely mean-reverting\n") 
} else { 
    cat("The spread is not mean-reverting.\n") 
} 

더 쉽고 강력하게 만들 수있는 도구는 무엇입니까?

Answer 1

quantmod 야후 (및 기타 업체)에 아주 좋은 인터페이스를 제공 데이터 :

library(quantmod) 
library(tseries) 

stk1 <- getSymbols("DD", from="2009-01-01", auto.assign=FALSE) 
stk2 <- getSymbols("CAT", from="2009-01-01", auto.assign=FALSE) 

# UPDATE: Here's how I would approach the rest of the OP's example 
# Ad() is a helper function in quantmod 
pair <- merge(Ad(stk1), Ad(stk2), all=FALSE) 

cat("Date range is", format(start(pair)), "to", format(end(pair)), "\n") 

# build the formula with the instrument names 
eqn <- as.formula(paste(colnames(pair), collapse=" ~ 0 + ")) 
# note that you can use zoo/xts objects with lm(); 
# you don't *need* a data.frame, but you can't mix types 
# with zoo/xts because they use a matrix internally 
m <- lm(eqn, data=pair) 
beta <- coef(m)[1] 

cat("Assumed hedge ratio is", beta, "\n") 

# index by number, since we won't always know the colnames 
sprd <- pair[,1] - beta*pair[,2] 
ht <- adf.test(sprd, alternative="stationary", k=0) 

cat("ADF p-value is", ht$p.value, "\n") 

if (ht$p.value < 0.05) { 
    cat("The spread is likely mean-reverting\n") 
} else { 
    cat("The spread is not mean-reverting.\n") 
}