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course

Importing and Managing Financial Data in R

Intermediate

Updated 12/2024

Learn how to access financial data from local files as well as from internet sources.

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RApplied Finance5 hours14 videos51 exercises4,300 XP19,792Statement of Accomplishment

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Course Description

If you've ever done anything with financial or economic time series, you know the data come in various shapes, sizes, and periodicities. Getting the data into R can be stressful and time-consuming, especially when you need to merge data from several different sources into one data set. This course will cover importing data from local files as well as from internet sources.

Prerequisites

Manipulating Time Series Data in R

1

Introduction and Downloading Data

Welcome to the course!

Introducing getSymbols()

Data sources

Make getSymbols() return the data it retrieves

Finding data from internet sources

Find stock ticker from Yahoo Finance

Download exchange rate data from Oanda

2

Extracting and Transforming Data

Extracting columns from financial time series

Extract one column from one instrument

Extract multiple columns from one instrument

Importing and transforming multiple instruments

Combine many instruments into one object

Extract the Close column from many instruments

3

Managing Data from Multiple Sources

Setting default arguments for getSymbols()

Set a default data source

Set default arguments for a getSymbols source

Setting per-instrument default arguments

Set default data source for one symbol

Save and load symbol lookup table

How *not* to specify the getSymbols() source

Handling instrument symbols that clash or are not valid R names

Access the object using get() or backticks

Create valid name for one instrument

Create valid names for multiple instruments

4

Aligning Data with Different Periodicities

Making irregular data regular

Create a zero-width and regular xts object

Use merge to make an irregular index regular

Aggregating to lower frequency

Aggregate daily data and merge with monthly data

Align series to first and last day of month

Aggregate to weekly, ending on Wednesdays

Aggregating and combining intraday data

Combine data that have timezones

Make irregular intra-day data regular

Fill missing values by trading day

Aggregate irregular intra-day data

5

Importing Text Data, and Adjusting for Corporate Actions

Importing text files

Import well-formatted daily OHLC data

Import text files in other formats

Handle date and time in separate columns

Read text file containing multiple instruments

Checking for weirdness

Handle missing values

Visualize imported data

Cross reference sources

Adjusting for corporate actions

Adjust for stock splits and dividends

Download split and dividend data

Adjust univariate data for splits and dividends

When to adjust data

Congratulations!

Importing and Managing Financial Data in R

Course
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