[R] [R-SIG-Finance] forecasting earnings, sales and gross margin of a company...

Fri Oct 24 00:11:03 CEST 2008

Stoffer and Shumway have a nice hands-on book on time series with R. 
Their website is also very instructive. You may also wanna take a look 
at the tseries, FinTS and forecasting packages.

Nuno Prista

Michael wrote:
> Sender: r-help-bounces at r-project.org
> On-Behalf-Of: comtech.usa at gmail.com
> Subject: Re: [R] [R-SIG-Finance] forecasting earnings,	sales and gross margin of a company...
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> Subject:
> Re: [R] [R-SIG-Finance] forecasting earnings, sales and gross margin 
> of a company...
> From:
> Michael <comtech.usa at gmail.com>
> Date:
> Thu, 23 Oct 2008 12:39:40 -0700
> To:
> <Rory.WINSTON at rbs.com>
>
> To:
> <Rory.WINSTON at rbs.com>
> CC:
> <r-sig-finance at stat.math.ethz.ch>, <R-help at stat.math.ethz.ch>
>
>
> Dear folks,
>
> Here is one example of two time series:
>
> http://img523.imageshack.us/my.php?image=twoseriesfm3.jpg
>
> The two series are all year-over-year percentage growth (in percentage).
>
> For Amazon Net Sales Growth data, I have data from Q1 2001 to Q2 2008
> (quarterly), whereas for US Real Average Hourly Earnings Growth, I
> have data from Q1 1999 to Q3 2008 (original data was monthly and then
> I average every three months into quarterly).
>
> So I filled "zero"s to the Amazon Net Sales Growth data.
>
> Intuitively, the US Real Average Hourly Earnings series should lead
> the Amazon Net Sales Growth series.
>
> But how to use the statistical methods in R to analyze these two
> series and make forecast?
>
> Further, how to incorporate other news and shocks in Sept. - Oct 2008
> into the forecasting?
>
> Thanks!
>
>
> On Thu, Oct 23, 2008 at 2:51 AM,  <Rory.WINSTON at rbs.com> wrote:
>   
>> Dealing with accounting data is, in statistical terms, an ill-posed problem - there is not much data and quite a few dimensions. That said, there is a lot of research out there on applying statistical techniques to accounting data for the purposes of prediction and classification. But most prediction based on financial statements is based on much more fundamental techniques (e.g. a discounted cash flow analysis).
>>
>> Rory
>>
>>
>> Rory Winston
>> RBS Global Banking & Markets
>> Office: +44 20 7085 4476
>>
>> -----Original Message-----
>> From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Michael
>> Sent: 22 October 2008 23:26
>> To: r-help; r-sig-finance at stat.math.ethz.ch
>> Subject: [R-SIG-Finance] forecasting earnings, sales and gross margin of a company...
>>
>> Hi all,
>>
>> I am playing with some companies' balance sheets and income statements and want to apply what I've just learned from Stats class to see if I can forecast the companies earnings, sales and gross margin in the short term (3rd and 4th Quarter), mid-term (2009) and long term (2011, etc. )
>>
>> I pulled up some data from companies' financial statements over the past a few years. The companies are techs so don't have long history.
>> And given regime switching and big changes in the macro condition, I think long historical data have no use any way... so I have quarterly and annual data... and I probably need some other time series, for example the GDP, interest rate, consumer spending, etc.
>>
>> How do I forecast the performance of the firms using R? I don't have much experience yet, for example, I probably have to de-trend the timeseries first, and then do some seasonality adjustment, etc. but I think it's very fun. Are there good hands-on tutorials about how to do these things in R, with realistic examples?
>>
>> Thanks a lot!
>>
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