CHF 0.00
Go back

Financial Market Data for R/Rmetrics


Diethelm Würtz,  Andrew Ellis, Yohan Chalabi
Rmetrics eBooks 2010
Rmetrics Association & Finance Online Publishing, Zurich
193 pages, 13 figures
ISBN: 978-3-906041-04-9

About the Book:

Are you working with R and Rmetrics in the field of teaching finance? Then you will often use financial market data from the Internet, most likely downloaded from an Internet portal like Yahoo Finance or the Federal Reserve.

You may have asked yourself whether there are also other data sources on the Internet that can be used for courses and lectures and how can the download functions be customized to your personal needs. This Rmetrics eBook tries to answer questions you might have about these issues.We will show you how to access and download financial market data from the Internet. We will also show you how to write convenient download and listing functions to make your life more comfortable.

In this eBook you will find solutions for how to compose download URLs, how to download financial time series and how to generate listings for the financial instruments to make the search for individual time series easier. In all cases examples and exercises are given.

About the Authors:

Diethelm Würtz is Professor at the “Swiss Federal Institute of Technology”
(ETH) in Zurich. Diethelm is teaching regular ETH lectures and seminars in Computational Finance and Financial Engineering. He is involved in the organization of the “Rmetrics Summer Schools” and in several international workshops, courses and meetings in Europe and Asia. He is President of the Open Source “Rmetrics Association”, Senior Partner of “Finance Online GmbH” and Co-Founder of “Sidenis AG” in Zurich.

Andrew Ellis read neuroscience and mathematics at the University in Zurich. He did a Student Internship in the Econophysics group at ETH Zurich at the Institute for Theoretical Physics. Andrew is worked on the Rmetrics documentation project and co-authored this ebook on portfolio optimization with Rmetrics.

Yohan Chalabi has a master in Physics from the Swiss Federal Institute of Technology in Lausanne. He made his Doctorat Degree in the Econophysics group at ETH Zurich at the Institute for Theoretical Physics. Yohan is a co-author of the Rmetrics packages.

Table of Contents Download


Part I: Managing Data from the Internet
Time Series Functions
Reading Data from the Internet
Basic Statistics of Time Series
Plotting Financial Time Series

Part II: Equity Markets
Yahoo Finance Portal
OnVista Finance Portal

Part III: Interest Rate and Bond Markets
Board of Governors H15 Report
US Federal Reserve Bank
Bundesbank Time Series Database

Part IV: Exchange Rate Markets
OANDA FX Internet Porta
FRED Foreign Exchange Rates
Bundesbank FX Rates

Required Packages
Lynx Reader
Rmetrics Terms of Legal Use