[R-SIG-Finance] How to produce vector of correlation matrices
Murali Menon
feanor0 at hotmail.com
Tue Apr 17 17:22:38 CEST 2007
Hi Guillaume,
Thanks for this. I couldn't get your lapply() code to work as is because of
the following error:
Error in FUN(X[[1]], ...) : unused argument(s) (function (i, X, win)
but the following did the trick:
>res <- lapply(vec, function(i) cor(X[(i - win + 1) : i, ]))
where 'win' and 'X' were as per your definitions.
Cheers,
Murali
>From: guillaume.nicoulaud at halbis.com
>To: "Murali Menon" <feanor0 at hotmail.com>
>Subject: Réf. : [R-SIG-Finance] How to produce vector of correlation
>matrices
>Date: Tue, 17 Apr 2007 16:48:39 +0200
>
># with X, your matrix
>
>
>stp = 10 # step
>
>win = 260 # window
>
>
>
>vec <- seq(win, nrow(X), by = stp)
>
>lapply(vec, function(i, X, win) { cor( X[(i-win+1):i, ] ) }, X = X, win =
>win ) -> res
>
>
>
># "res" should be a list of correlation matrices
>
>
>
>Guillaume NICOULAUD
>Halbis Capital Management (France)
>Strategy & Quantitative Analysis
>
>Halbis Capital Management (France)
>75419 Paris Cedex 08
>Tel. : +33 (0) 1 58 13 99 97
>Mob : +33 (0) 6 87 84 97 75
>guillaume.nicoulaud at halbis.com
>www.halbis.com
>
>
>
>
>
> Pour :
>r-sig-finance at stat.math.ethz.ch
> cc :
> Objet :
>[R-SIG-Finance] How to produce vector of correlation matrices
> "Murali Menon" <feanor0 at hotmail.com>
> Envoyé par :
> r-sig-finance-bounces at stat.math.ethz.
> ch
>
>
> 17/04/2007 16:28
>
>
>
>
>
>
>Folks,
>
>I have a matrix of equity returns with rownames as dates and colnames as
>stock codes. I'd like to compute
>a rolling vector of correlation matrices, one matrix for each date. Is
>there
>a nifty way to accomplish this?
>
>E.g if my matrix is
>
> AAA BBB CCC DDD
>EEE
>01/01/2007 10% 60% 49% 99% 99%
>02/01/2007 42% 91% 72% 57% 79%
>03/01/2007 25% 100% 76% 40% 17%
>04/01/2007 99% 98% 81% 100% 13%
>05/01/2007 74% 49% 85% 24% 69%
>06/01/2007 9% 43% 57% 57% 1%
>07/01/2007 77% 53% 84% 70% 57%
>08/01/2007 98% 66% 24% 28% 77%
>09/01/2007 1% 43% 72% 82% 1%
>10/01/2007 14% 22% 18% 43% 27%
>11/01/2007 15% 5% 62% 34% 3%
>12/01/2007 70% 63% 59% 92% 57%
>13/01/2007 27% 58% 12% 31% 68%
>14/01/2007 15% 90% 48% 16% 66%
>15/01/2007 86% 6% 52% 95% 3%
>
>and I take a roll period of 10 days, my vector of correlation matrices
>might
>look like:
>
>10/01/2007:
>
> AAA BBB CCC DDD EEE
>AAA 1.00 0.38 0.19 -0.17 0.29
>BBB 0.38 1.00 0.44 0.16 0.10
>CCC 0.19 0.44 1.00 0.26 -0.15
>DDD -0.17 0.16 0.26 1.00 -0.11
>EEE 0.29 0.10 -0.15 -0.11
>1.00
>
>11/01/2007:
>
> AAA BBB CCC DDD EEE
>AAA 1.00 0.47 0.14 0.07 0.61
>BBB 0.47 1.00 0.37 0.32 0.30
>CCC 0.14 0.37 1.00 0.41 -0.06
>DDD 0.07 0.32 0.41 1.00 -0.38
>EEE 0.61 0.30 -0.06 -0.38
>1.00
>
>etc.
>
>I looked at the fMultivar and fPortfolio packages which do funky stuff with
>return series,
>but they (as far as I can tell) produce an overall covariance matrix, not a
>rolling one as I need.
>
>Thanks,
>
>Murali
>PS: Of course, if my equity returns looked as they do above, I'd have
>retired aeons ago :-)
>
>_________________________________________________________________
>
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>
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