Introduction to Financial Economics with R
Introduction to Financial Economics with R
Lesson 1. Time Series Analysis
Lesson 1. Time Series Analysis
Seungho Shin
18 May, 2020
2. How to Import Apple Stock Data into R?
(1) Import Data from URL to R:
library(quantmod)
Apple_Web <- getSymbols("AAPL",
from = "2015-01-01", to = "2020-01-01",
auto.assign = FALSE)
head(Apple_Web)## AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
## 2015-01-02 111.39 111.44 107.35 109.33 53204600 99.94589
## 2015-01-05 108.29 108.65 105.41 106.25 64285500 97.13024
## 2015-01-06 106.54 107.43 104.63 106.26 65797100 97.13942
## 2015-01-07 107.20 108.20 106.70 107.75 40105900 98.50152
## 2015-01-08 109.23 112.15 108.70 111.89 59364500 102.28619
## 2015-01-09 112.67 113.25 110.21 112.01 53699500 102.39584
tail(Apple_Web)## AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
## 2019-12-23 280.53 284.25 280.37 284.00 24643000 282.5627
## 2019-12-24 284.69 284.89 282.92 284.27 12119700 282.8313
## 2019-12-26 284.82 289.98 284.70 289.91 23280300 288.4428
## 2019-12-27 291.12 293.97 288.12 289.80 36566500 288.3333
## 2019-12-30 289.46 292.69 285.22 291.52 36028600 290.0446
## 2019-12-31 289.93 293.68 289.52 293.65 25201400 292.1638
(2) Import a CSV Data File in R:
At Yahoo Finance, https://finance.yahoo.com/, you get free stock quotes, market news, international market data, social interaction
and other valuable resources. Find and download Apple Inc.(AAPL) historical data from January 1, 2015 to December 31, 2019.
Apple_CSV <- read.csv("AAPL.csv", header = TRUE, sep = ",")
head(Apple_CSV)## Date Open High Low Close Adj.Close Volume
## 1 1/2/2015 111.39 111.44 107.35 109.33 99.94589 53204600
## 2 1/5/2015 108.29 108.65 105.41 106.25 97.13024 64285500
## 3 1/6/2015 106.54 107.43 104.63 106.26 97.13942 65797100
## 4 1/7/2015 107.20 108.20 106.70 107.75 98.50152 40105900
## 5 1/8/2015 109.23 112.15 108.70 111.89 102.28619 59364500
## 6 1/9/2015 112.67 113.25 110.21 112.01 102.39584 53699500
tail(Apple_CSV)## Date Open High Low Close Adj.Close Volume
## 1253 12/23/2019 280.53 284.25 280.37 284.00 282.5627 24643000
## 1254 12/24/2019 284.69 284.89 282.92 284.27 282.8313 12119700
## 1255 12/26/2019 284.82 289.98 284.70 289.91 288.4428 23280300
## 1256 12/27/2019 291.12 293.97 288.12 289.80 288.3333 36566500
## 1257 12/30/2019 289.46 292.69 285.22 291.52 290.0446 36028600
## 1258 12/31/2019 289.93 293.68 289.52 293.65 292.1638 25201400
3. How to Visualize Apple Stock Data?
chart_Series(Ad(Apple_Web))
library(ggplot2)
qplot(x = 1:length(Apple_CSV$Date), y = Apple_CSV$Adj.Close, geom = "line") +
geom_line(color = "darkblue") +
labs(x = "" , y = "Adjusted Price", title = "Apple Inc.") +
geom_hline(yintercept = mean(Apple_CSV$Adj.Close), color = "red") +
theme_light()
4. How to Summarize Apple Stock Data (CSV File)?
(1) Entire Data Set
summary(Apple_CSV)## Date Open High Low
## Length:1258 Min. : 90.0 Min. : 91.67 Min. : 89.47
## Class :character 1st Qu.:115.8 1st Qu.:116.52 1st Qu.:114.51
## Mode :character Median :150.4 Median :152.05 Median :149.18
## Mean :154.4 Mean :155.76 Mean :153.08
## 3rd Qu.:186.0 3rd Qu.:187.38 3rd Qu.:184.67
## Max. :291.1 Max. :293.97 Max. :289.52
## Close Adj.Close Volume
## Min. : 90.34 Min. : 84.96 Min. : 11362000
## 1st Qu.:115.50 1st Qu.:107.79 1st Qu.: 23780725
## Median :150.56 Median :145.16 Median : 31576250
## Mean :154.48 Mean :148.69 Mean : 35899955
## 3rd Qu.:186.00 3rd Qu.:181.52 3rd Qu.: 42864550
## Max. :293.65 Max. :292.16 Max. :162206300
(2) Specific Variable Only - 3 Examples:
Example 1: Adjusted Close Price
summary(Apple_CSV$Adj.Close)## Min. 1st Qu. Median Mean 3rd Qu. Max.
## 84.96 107.79 145.16 148.69 181.52 292.16
Example 2: Open Price
summary(Apple_CSV$Open)## Min. 1st Qu. Median Mean 3rd Qu. Max.
## 90.0 115.8 150.4 154.4 186.0 291.1
Example 3: Volume
summary(Apple_CSV$Volume)## Min. 1st Qu. Median Mean 3rd Qu. Max.
## 11362000 23780725 31576250 35899955 42864550 162206300