Hi Brian,

thanks a lot for your pointers! I've taken a look at the book and the R
example website. That's super! Some of the examples there are very good.

Yet I am still looking for Fama 3 factor model and Ross' APT implementation.
The concept is not hard per se, however I am not sure how to classify some
companies as H, and some companies as L and others as Value companies, and
the others as Growth companies. There are a lot of implementation details
that I am not sure of. Thus I guess learning from other people's
implementation is a better approach for me as a green-hand.

(The Rmetrics are not very complete I guess.)

Thanks a lot Brian and thanks everybody...





On 11/13/06, Brian G. Peterson <brian@braverock.com> wrote:
>
> On Sunday 12 November 2006 22:41, Michael wrote:
> > > I am also looking for interesting statistical experiments about
> > > testing and estimating CAPM, APT, Fama models, etc.
> > > using R using financial series data...
> > > please give me some pointers... I have been searching
> > > the R archives for the past a few hours and I vaguely got to know
> > > that there are programs do these interesting statistical things, but
> > > I just could not find where are they...
>
> Look at at the 'portfolio' and 'RMetrics' packages.  RMetrics is actually
> a group of packages, not just a single module.  These should give you
> CAPM and more.
>
> I can also recommend this excellent introductory book:
>
> http://www.amazon.com/Statistics-Finance-Introduction-David-Ruppert/dp/0387202706
> Statistics and Finance: An Introduction by David Ruppert
>
> with R examples available here:
> http://www.stat.tamu.edu/~ljin/Finance/stat689-R.htm
>
> Once you've worked on this for a while, if you need pointers on a specific
> problem, this list may be able to be of greater assistance.
>
> Regards,
>
>    - Brian
>
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>

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