[R-sig-finance] Using R in equity research
Dirk Eddelbuettel
edd at debian.org
Mon Jun 7 19:49:53 CEST 2004
On Mon, Jun 07, 2004 at 10:35:34AM -0700, Vadim Ogranovich wrote:
> > > 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?
>
> I guess I am missing something in the question since the subject has
> been under very intensive study since the seminal paper by Fama and
> French where they introduced their three factor model (I don't have the
> reference handy, but I guess Google will turn up hundreds of
> references). The literature simply exploded since then.
Quite right, I should have thought a little harder.
Two financial econometrics books I can recommend (the recent Zivot and Wang
'Modelling Financial Time Series with S-Plus' -- more or less a manual to
S+FinMetrics -- as well as Campbell, Lo, and MacKinlay's 'Econometrics of
Financial Markets') each have a chapter on it.
Andrew: Either one of those should be a good start.
Dirk
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