[R-SIG-Finance] Intro Stock Market Time Series Questions

Neil Tiffin neilt at neiltiffin.com
Thu May 7 16:57:20 CEST 2009

I am starting to learn more about using statistics and time series to  
augment my trading activities and need a few pointers to get started  
in the right direction.  Being an engineer, I have a background in  
programming and math, at the Calculus and Laplace Transform level, but  
only intro level statistics.  I have the books "Analysis of Financial  
Time Series" by Tsay,  "Intro Statistics with R" by Dalgarrd, and  
"Data Analysis and Graphics Using R" by Maindonald and Braun.

My first interest is determine what price changes are due to the  
market in general and what are due to underlying issues with a  
particular stock.  For this I would like to compare two time series  
and determine if the security is moving with the market (S&P500) or is  
something else effecting it.  I do not need to know what is effecting  
the price movement, but I am interested in understand if the effect is  
weak or strong compared to historical movements and if the movement is  
sympathetic or counter to the general market.  I have access to real  
time data and am interested in shorter term analysis that can provide  
information to support other trading decisions.

If someone would point me to specific functions or reference material  
I am more than happy to read and learn.  I am however, overwhelmed  
with the subject and just need a bit of practical advice as to how  
others are doing this day to day.

Thank you.

Neil Tiffin

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