Working with xts and quantmod
Working with xts and quantmod
Leveraging R with xts and quantmod for quantitative trading
Jeffrey A. Ryan
jeffrey.ryan@
R/Finance 2009 Workshop Presented on April 24, 2009
R/Finance 2009: Applied Finance with R
University of Illinois at Chicago
xts: extensible time series
Most everything in trading involves a time series
Regular data (positions data, P&L)
Irregular data (market data, book data, trades)
R has many ways to manage this...
xts: extensible time series
Data Classes
xts: extensible time series
fts
Data Classes
matrix
data.table
its
mts
data.frame
timeSeries
vectors
tframe
ts
zoo
zooreg
irts
xts: extensible time series
fts
Data Classes
matrix
data.table
its
Time Classes
mts
data.frame
timeSeries
vectors
tframe
ts
zoo
zooreg
irts
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