CorrelationMatrix: CorrelationMatrix.

Description Usage Arguments Value Examples

Description

CorrelationMatrix.

Usage

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CorrelationMatrix(ticker, cutoff = 0.8, start = Sys.Date() - 365,
  end = Sys.Date(), market.cap = 0.1, sector = TRUE, industry = FALSE)

Arguments

ticker

Yahoo Finance target ticker

start

Start date

end

End date

market.cap

Percentage difference in market cap for similar stocks (or FALSE if not used)

sector

Boolean to represent if stocks should be restricted to same sector

industry

Boolean to represent if stocks should be restricted to same industry

correlation

cutoff - used to determine if the other stock should be added to a basket of correlated stocks

Value

List of covariance matrix, correlation matrix, and basket of highly correlated stocks

Examples

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CorrelationMatrix("IBM", 0.5, as.Date('2015-01-01'), as.Date('2015-05-25'))

Texas-UCF/quantkit documentation built on May 9, 2019, 4:26 p.m.