CorrelationMatrix: CorrelationMatrix.

In Texas-UCF/quantkit: Quantitative analysis for financial markets

Description

CorrelationMatrix.

Usage

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

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.