R help - Nov 2006 - looking for functions that can test/estimate CAMPM, APT, Fama's factor model, etc.

Hi all,

I am also looking for interesting statistical experiments about testing and
estimating CAPM, APT, Fama models, etc. using R using financial series
data... please give me some pointers... I have been searching the R archives
for the past a few hours and I vaguely got to know that there are programs
do these interesting statistical things, but I just could not find where are
they...

I have found for Matlab there are quite a few interesting experiments that I
can play with:

http://www.mathworks.com/products/finance/demos.html?file=/products/demos/shipping/finance/capmdemo.html

But I really hope R can give me more resources and more functionalities esp.
considering it is an open source and open platform among statisticians...

Thanks a lot!

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you should also write to the r-finance special interest group. also, you
can do all that stuff yourself
using the R tools/functions etc but I don't know of such functions have
already been written.
joe byers may be able to answer the question. my guess is that, if these
sort of things have
been written, they haven't been done in an available package but I could
be wrong.



-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Michael
Sent: Sunday, November 12, 2006 4:54 PM
To: R-help at stat.math.ethz.ch
Subject: [R] looking for functions that can test/estimate CAMPM,
APT,Fama's factor model, etc.

Hi all,

I am also looking for interesting statistical experiments about testing
and estimating CAPM, APT, Fama models, etc. using R using financial
series data... please give me some pointers... I have been searching the
R archives for the past a few hours and I vaguely got to know that there
are programs do these interesting statistical things, but I just could
not find where are they...

I have found for Matlab there are quite a few interesting experiments
that I can play with:

http://www.mathworks.com/products/finance/demos.html?file=/products/demo
s/shipping/finance/capmdemo.html

But I really hope R can give me more resources and more functionalities
esp.
considering it is an open source and open platform among
statisticians...

Thanks a lot!

	[[alternative HTML version deleted]]

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Hi Brian,

thanks a lot for your pointers! I've taken a look at the book and the R
example website. That's super! Some of the examples there are very good.

Yet I am still looking for Fama 3 factor model and Ross' APT implementation.
The concept is not hard per se, however I am not sure how to classify some
companies as H, and some companies as L and others as Value companies, and
the others as Growth companies. There are a lot of implementation details
that I am not sure of. Thus I guess learning from other people's
implementation is a better approach for me as a green-hand.

(The Rmetrics are not very complete I guess.)

Thanks a lot Brian and thanks everybody...





On 11/13/06, Brian G. Peterson <brian@braverock.com>
wrote:
>
> On Sunday 12 November 2006 22:41, Michael wrote:
> > > I am also looking for interesting statistical experiments about
> > > testing and estimating CAPM, APT, Fama models, etc.
> > > using R using financial series data...
> > > please give me some pointers... I have been searching
> > > the R archives for the past a few hours and I vaguely got to know
> > > that there are programs do these interesting statistical things,
but
> > > I just could not find where are they...
>
> Look at at the 'portfolio' and 'RMetrics' packages. 
RMetrics is actually
> a group of packages, not just a single module.  These should give you
> CAPM and more.
>
> I can also recommend this excellent introductory book:
>
>
http://www.amazon.com/Statistics-Finance-Introduction-David-Ruppert/dp/0387202706
> Statistics and Finance: An Introduction by David Ruppert
>
> with R examples available here:
> http://www.stat.tamu.edu/~ljin/Finance/stat689-R.htm
>
> Once you've worked on this for a while, if you need pointers on a
specific
> problem, this list may be able to be of greater assistance.
>
> Regards,
>
>    - Brian
>
> _______________________________________________
> R-SIG-Finance@stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>
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