tag:blogger.com,1999:blog-5049613389055921243.post6530600034586260844..comments2024-03-05T16:42:05.992+05:30Comments on We think therefore we R: Predictability of stock returns : Using acf()Shreyeshttp://www.blogger.com/profile/02952702110986035135noreply@blogger.comBlogger9125tag:blogger.com,1999:blog-5049613389055921243.post-67457920519832549172020-10-21T18:23:17.239+05:302020-10-21T18:23:17.239+05:30Very informative post. Stock is similar to Forex. ...Very informative post. Stock is similar to Forex. In Forex, it is 24 hours open. A good <a href="https://www.forexcheapvps.com/" rel="nofollow">Forex VPS</a> can give the solution for 24 hours trading opportunity. Richardsonhttps://www.forexcheapvps.com/noreply@blogger.comtag:blogger.com,1999:blog-5049613389055921243.post-88469905569053423952016-06-13T12:47:58.439+05:302016-06-13T12:47:58.439+05:30why there is INFY.BO and not INFY in symbol. is it...why there is INFY.BO and not INFY in symbol. is it required .BO in all stocks?ANIL SHAH ( TECHNICAL ANALYST )https://www.blogger.com/profile/09724336175416748838noreply@blogger.comtag:blogger.com,1999:blog-5049613389055921243.post-3541043405327121022014-10-23T12:04:51.853+05:302014-10-23T12:04:51.853+05:30I improvised on the coding in case people were hav...I improvised on the coding in case people were having trouble downloading data. Please go through it and let me know if this is ok<br /><br />require(quantmod)<br />require(xts)<br />require(TTR)<br />infy<-new.env()<br />getSymbols('INFY.BO', from=as.Date("2013-10-19"), to=as.Date("2014-10-21"))<br />infy<-INFY.BO$INFY.BO.Adjusted<br /><br />summary(infy)<br /><br />plot(infy, xlab = "Dates", ylab = "Adjusted closing price", main = "Adjusted closing price of Infosys for the past 1 year",<br /> minor.ticks = FALSE, col= "red")<br /><br />infy_ret<-Delt(infy, type='arithmetic')<br /><br />plot(infy_ret, xlab= "Dates", ylab= "Returns percentage(%)", main="Daily returns of INFOSYS for past 1 year",<br /> minor.ticks = FALSE, col= "red")<br /><br />acf(infy_ret, plot = TRUE, main = "ACF of INFOSYS returns for past one year", na.action=na.exclude)<br /><br />summary(lm(infy_ret[8:length(infy_ret)] ~ infy_ret[8:length(infy_ret) - 1] <br /> + infy_ret[8:length(infy_ret) - 2]+ infy_ret[8:length(infy_ret) - 3] <br /> + infy_ret[8:length(infy_ret) - 4] + infy_ret[8:length(infy_ret) - 5] <br /> + infy_ret[8:length(infy_ret) - 6] +infy_ret[8:length(infy_ret) - 7] ))<br /><br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5049613389055921243.post-38345673644647502402013-05-07T11:12:07.893+05:302013-05-07T11:12:07.893+05:30http://programming-r-pro-bro.blogspot.in/2013/04/f...http://programming-r-pro-bro.blogspot.in/2013/04/forecasting-stock-returns-using-arima.html<br /><br />Hope you find this helpful.<br /><br />~<br />ShreyesShreyeshttps://www.blogger.com/profile/02952702110986035135noreply@blogger.comtag:blogger.com,1999:blog-5049613389055921243.post-62316642496063402252013-05-07T11:11:20.940+05:302013-05-07T11:11:20.940+05:30Stats101,
Can you provide the codes and data that...Stats101,<br /><br />Can you provide the codes and data that you are using to generate the output?<br /><br />you can send it at shreyes.upadhyay@gmail.com<br /><br />~<br />ShreyesShreyeshttps://www.blogger.com/profile/02952702110986035135noreply@blogger.comtag:blogger.com,1999:blog-5049613389055921243.post-19163999015896737312013-05-07T05:18:16.481+05:302013-05-07T05:18:16.481+05:30Hi, I am trying to replicate an output for this wi...Hi, I am trying to replicate an output for this with my own data however, I do not know why it is not populating. I have a one column data that I produced an Auto correlations graph like yours above. I would like to calculate the Rsqrd and the pvalue however, when I copied your code and exchanged infy_ret for my own variable "variable1", it did not produce the same output. Please provide guidance if possible. Thanks!Stats101https://www.blogger.com/profile/01946954707732283600noreply@blogger.comtag:blogger.com,1999:blog-5049613389055921243.post-80339771843858094542013-04-27T12:37:53.209+05:302013-04-27T12:37:53.209+05:30Hi Shreyas,
I am waiting for your post on ARMA. W...Hi Shreyas,<br /><br />I am waiting for your post on ARMA. Would be really helpful if you can post it.narayanhttps://www.blogger.com/profile/08375033315895940119noreply@blogger.comtag:blogger.com,1999:blog-5049613389055921243.post-13394053481863140852011-10-28T01:59:57.209+05:302011-10-28T01:59:57.209+05:30Hi Utkarsh,
Well I saw that question coming.:-)
...Hi Utkarsh, <br /><br />Well I saw that question coming.:-)<br /><br />I tried to keep this post as simple as possible, maybe in the following posts I would elaborate more about ARMA modelling.<br /><br />But yes no doubt an ARMA modelling here would have been a better technique.<br /><br />Thanks for your comment.Shreyeshttps://www.blogger.com/profile/02952702110986035135noreply@blogger.comtag:blogger.com,1999:blog-5049613389055921243.post-12836604982310727152011-10-28T01:47:41.635+05:302011-10-28T01:47:41.635+05:30Hi Shreyes,
Excellent post, the notion of Second ...Hi Shreyes,<br /><br />Excellent post, the notion of Second order stationarity is indeed very important in Time series analysis.<br /><br />However, would it not be more natural to fit an ARMA model instead of a regression model to the data, considering that it is indeed a time-series?<br /><br />~<br />utmusically_uthttps://www.blogger.com/profile/00017318258700020690noreply@blogger.com