Search icon CANCEL
Subscription
0
Cart icon
Your Cart (0 item)
Close icon
You have no products in your basket yet
Save more on your purchases now! discount-offer-chevron-icon
Savings automatically calculated. No voucher code required.
Arrow left icon
Explore Products
Best Sellers
New Releases
Books
Videos
Audiobooks
Learning Hub
Conferences
Free Learning
Arrow right icon
Arrow up icon
GO TO TOP
Learning Quantitative Finance with R

You're reading from   Learning Quantitative Finance with R Implement machine learning, time-series analysis, algorithmic trading and more

Arrow left icon
Product type Paperback
Published in Mar 2017
Publisher Packt
ISBN-13 9781786462411
Length 284 pages
Edition 1st Edition
Languages
Arrow right icon
Authors (2):
Arrow left icon
PRASHANT VATS PRASHANT VATS
Author Profile Icon PRASHANT VATS
PRASHANT VATS
Dr. Param Jeet Dr. Param Jeet
Author Profile Icon Dr. Param Jeet
Dr. Param Jeet
Arrow right icon
View More author details
Toc

Table of Contents (10) Chapters Close

Preface 1. Introduction to R 2. Statistical Modeling FREE CHAPTER 3. Econometric and Wavelet Analysis 4. Time Series Modeling 5. Algorithmic Trading 6. Trading Using Machine Learning 7. Risk Management 8. Optimization 9. Derivative Pricing

Multi factor model


The multi factor model can be used to decompose returns and calculate risk. The factors are constructed using pricing, fundamental, and analyst estimates data. I will use Systematic Investor Toolbox for this section.

The gzcon() function creates a connection and reads data in compressed format. Once we create a connection, we also have to close the connection.

The following commands explain this:

> con = gzcon(url('http://www.systematicportfolio.com/sit.gz', 'rb'))
>  source(con)
> close(con)

The following function is used to fetch Dow Jones components data from http://money.cnn.com and join() is taken from Systematic Investor Toolbox:

>dow.jones.components<- function(){
url = 'http://money.cnn.com/data/dow30/'
   txt = join(readLines(url))
   temp = gsub(pattern = '">', replacement = '<td>', txt, perl = TRUE)
   temp = gsub(pattern = '</a>', replacement = '</td>', temp, perl = TRUE) 
   temp = extract.table.from.webpage(temp, 'Volume...
lock icon The rest of the chapter is locked
Register for a free Packt account to unlock a world of extra content!
A free Packt account unlocks extra newsletters, articles, discounted offers, and much more. Start advancing your knowledge today.
Unlock this book and the full library FREE for 7 days
Get unlimited access to 7000+ expert-authored eBooks and videos courses covering every tech area you can think of
Renews at $19.99/month. Cancel anytime