tidyquant part 3
## Download financial data with tidyquant
## Perform various data manipulations with dplyr
## join and pivot datasets, CAPM computation
## Athanassios Stavrakoudis
## 29 Oct 2021
# load required libraries
library(tidyquant)
library(tidyverse)
# store in a variable for further use
FB <- tq_get("FB", from = "2015-01-01", to = Sys.Date())
# min max per quarter
max_close_FB <- FB %>%
tq_transmute(select = close,
mutate_fun = apply.quarterly,
FUN = max,
col_rename = "max_close")
min_close_FB <- FB %>%
tq_transmute(select = close,
mutate_fun = apply.quarterly,
FUN = min,
col_rename = "min_close")
mm_close_FB <- inner_join(min_close_FB, max_close_FB, by = "date")
mm_close_FB
# compute daily returns of Nasdaq and FB, adjusted prices
# Capital asset pricing model
NDAQ <- tq_get("NDAQ",
get = "stock.prices",
from = "2015-01-01",
to = Sys.Date())
Ra <- FB %>%
tq_transmute(select = adjusted,
mutate_fun = periodReturn,
period = "daily",
col_rename = "rFB")
Rb <- NDAQ %>%
tq_transmute(select = adjusted,
mutate_fun = periodReturn,
period = "daily",
col_rename = "rNDAQ")
RaRb <- left_join(Ra, Rb, by = "date")
RaRb
# Compute CAPM
RaRb %>%
tq_performance(Ra = rFB, Rb = rNDAQ, performance_fun = table.CAPM)
# transpose the table results
RaRb %>%
tq_performance(Ra = rFB, Rb = rNDAQ, performance_fun = table.CAPM) %>%
t()
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σχολιασμοί, εξωτερικοί σύνδεσμοι, βοήθεια, ψηφοφορίες, αρχεία, κτλ.
Εκπαιδευτικό υλικό από τον
Αθανάσιο Σταυρακούδη
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http://stavrakoudis.econ.uoi.gr/stavrakoudis/?iid=401.