There are different issues here: First you should think what you mean by
"affect".  Do you mean in levels or variances? For example a basic model in
finance is the market model which asserts that returns of any security is a
linear function of market wide factors. This has been developed and extended
into the Capital Asset Pricing Model (CAPM) and the  Arbitrage Pricing
Theory  (APT) ). Second, another effect might be volatility in which case
you would be concerned with whether changes in volatility were systematic
across the market and that would take you into quite a different type of
modeling (refer to ARCH/GARCH models).
A lot of work is available in modeling combinations of returns using the
technique of Vector Autoregressive Modeling and this links up with the issue
of Granger causality which seeks to answer the question - Does y cause x or
does x cause y?
Most of these issues are covered in many econometric books but R is quite
thin on the ground with clear discussion of the principles.
I would suggest an introductory general text - Brooks "Introductory
Econometrics for Finance" (which doesn't deal with R but does have clear
discussions) and  Wright and London "Modern Regression Techniques using R,
Sage 2009) and if you are bravely confident  - Vinod, "Hands-on Intermediate
Econometrics using R",2008
Charles Ward





On Thu, May 7, 2009 at 3:57 PM, Neil Tiffin <neilt@neiltiffin.com> wrote:

> 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
> Chicago
>
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