[R-sig-finance] Using R in equity research

Dirk Eddelbuettel edd at debian.org
Mon Jun 7 16:37:45 CEST 2004


Andrew,

On Sun, Jun 06, 2004 at 05:00:09PM -0700, Andrew West wrote:
> I had been using Minitab in my MBA program at NYU, but
> my professor of regression and data analysis Jeff
> Simonoff suggested that ambitious students might try
> R. I didn't use it for his course but gradually taught
> myself to perform regression analysis and diagnostics
> with R. 
> 
> I'm definitely not from a mathematical/statistical
> background. I've been driven to statistics by a desire
> to test assumptions I form about fundamental company
> research and equity analysis.
> 
> Most equity research people tend to not check
> diagnostics very well, and thus violate basic

I think that is generally true 'on the street'.

> assumptions I think, because they'd rather be
> overconfident about their assumptions. That's an
> over-generalization though.
> 
> I've been doing valuation studies within industries,
> looking at how some valuation measures relate to
> company characteristics and external factors over
> time. My professor suggested using mixed effects
> models for such longitudinal data studies, and I don't
> have a budget for this sort of thing, so using R and
> the NLME package was a natural choice. I think I'm
> doing some things with it I haven't seen other
> analysts do.  

Sounds interesting. Do you have any write-ups?

> I notice that most financial users of R and S-Plus
> tend to be focused on derivatives and time-series
> applications. I haven't seen many approaching time
> series data from a multi-factor relationship
> perspective. Anyone else seen good applications,
> publications on that kind of analysis?

For what I know, it is used fairly extensive in portfolio management (for
equity as well as other portfolio) but I don't have a quick reference I
could point you to for more.  

Suggestions, anyone?

Best regards, Dirk

-- 
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