[R-SIG-Finance] Finding price difference of a time series

[veepsirtt]

Hi,
                   I couldnot find cointegration coefficient  while using
adf.test.

Error in ht$p - value : non-numeric argument to binary operator
In addition: Warning message:
sd(<matrix>) is deprecated.
 Use apply(*, 2, sd) instead. 

--------------------------------------------- The
code----------------------------------------------
if (!require(quantmod)) {
  stop("This app requires the quantmod package. To install it, run
'install.packages(\"quantmod\")'.\n")
}

# Download data for a stock if needed, and return the data
require_symbol <- function(symbol, envir = parent.frame()) {
  if (is.null(envir[[symbol]])) {
    envir[[symbol]] <- getSymbols(symbol, auto.assign = FALSE)
  }
  
  envir[[symbol]]
}
 
  # Create an environment for storing data
  symbol_env <- new.env()
      
    #Utilize quantmod to load the security symbols
    require(quantmod)
    library(zoo)
    library(tseries)

    s1="SPY" 
    s2="GOOG" 
    
    a <- require_symbol(s1, symbol_env)              
    b <- require_symbol(s2, symbol_env)
    
    #remove NAs       
    c=cbind(a,b)
    final=na.omit(c)
    row.has.na <- apply(final, 1, function(x){any(is.na(x))})
    sum(row.has.na)
    
    A<- c[, c(1,2,3,4,5,6)]
    B<- c[, c(7,8,9,10,11,12)]  
        
    #define training set
    startT  <- "2007-01-02"
    endT    <- "2009-01-01"
    rangeT  <- paste(startT,"::",endT,sep ="")
    tA   <- A[,6][rangeT]
    tB   <- B[,6][rangeT]
    
    #define out of sample set
    startO  <- "2013-02-01"
    endO <-Sys.Date()
    rangeO  <- paste(startO,"::",endO,sep ="")
    oA   <- A[,6][rangeO]
    oB   <- B[,6][rangeO]

    #compute price differences on in-sample data
    pdtA <- diff(tA)[-1]
    pdtB <- diff(tB)[-1]
    
    #build the model
    model  <- lm(pdtA ~ pdtB - 1)
    
    #extract the hedge ratio
    hr     <- as.numeric(model$coefficients[1])
    #spread price (in-sample)
    spreadT <- oA - hr * oB
    
    days=length(spreadT)

    #compute statistics of the spread
    meanT    <- as.numeric(mean(spreadT,na.rm=TRUE))
    sdT      <- as.numeric(sd(spreadT,na.rm=TRUE))

    #find correlation coefficient
    cr=   cor(oA, oB, method="spearman") 

    #find cointegration coefficient
    ht <- adf.test(spreadT, alternative="stationary", k=0)
    cat("ADF p-value is", ht$p-value, "\n")
    -----------------------------------------------the
code--------------------------------------------------------


Thanks
veepsirtt



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