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| library(timeSeries)
library(tseries) # permet de recupérer les données sur yahoo finance
CAC40 <- get.hist.quote("^FCHI",start = "2007-01-01",end= "2018-01-01",quote = "AdjClose")
length(price_CAC40)
CAC40 <- na.omit(CAC40)
price_CAC40 <-CAC40
CAC40 <- returns(CAC40) #rendements
CAC40 <- timeSeries(CAC40)
dateD <- strptime(rownames(CAC40),"%Y-%m-%d")
CAC40<-timeSeries(CAC40,dateD)
#CAC40 <- na.omit(CAC40)
price_CAC40 <- timeSeries(price_CAC40[,1],dateD)
View(price_CAC40)
summary(CAC40)
length(CAC40)
CAC40 <- timeSeries(CAC40)
equities <- read.csv("data.csv", header = TRUE, dec = ".", sep = ",")
View(equities)
date<-strptime(equities$date,"%Y-%m-%d")
equities<-timeSeries(equities[,3:7],date)
price_equities <- equities
equities <- returns(equities)
equities <- timeSeries(equities)
View(price_equities)
##### EWp
KI<-100e6
w<-rep(1/5,5)
Q<-floor((w*KI)/head(price_equities)[1,c(1:5)])
dateB<-as.character(time(window(price_equities[,c(1:5)],"2007-01-01","2018-01-01")))
EWP<-timeSeries(t(matrix(Q,1,5)%*%t(window(price_equities[,c(1:5)],"2007-01-01","2018-01-01"))),dateB)
EWP_R<-returns(EWP)
modelEWP<-lm((EWP_R-0)~ (CAC40-0)+0) |
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