抓去四家公司的全部股票行情数据
new.environment <- new.env()
library(quantmod)
## Loading required package: Defaults
## Loading required package: xts
## Loading required package: zoo
##
## Attaching package: 'zoo'
##
## The following objects are masked from 'package:base':
##
## as.Date, as.Date.numeric
##
## Loading required package: TTR
## Version 0.4-0 included new data defaults. See ?getSymbols.
getSymbols(c("AAPL", "ORCL", "MSFT", "GOOG"), src = "yahoo", env = new.environment)
## As of 0.4-0, 'getSymbols' uses env=parent.frame() and
## auto.assign=TRUE by default.
##
## This behavior will be phased out in 0.5-0 when the call will
## default to use auto.assign=FALSE. getOption("getSymbols.env") and
## getOptions("getSymbols.auto.assign") are now checked for alternate defaults
##
## This message is shown once per session and may be disabled by setting
## options("getSymbols.warning4.0"=FALSE). See ?getSymbol for more details
## [1] "AAPL" "ORCL" "MSFT" "GOOG"
# 查看抓取的全量数据情况
str(get("AAPL", env = new.environment))
## An 'xts' object on 2007-01-03/2014-04-21 containing:
## Data: num [1:1837, 1:6] 86.3 84 85.8 86 86.5 ...
## - attr(*, "dimnames")=List of 2
## ..$ : NULL
## ..$ : chr [1:6] "AAPL.Open" "AAPL.High" "AAPL.Low" "AAPL.Close" ...
## Indexed by objects of class: [Date] TZ: UTC
## xts Attributes:
## List of 2
## $ src : chr "yahoo"
## $ updated: POSIXct[1:1], format: "2014-04-23 01:31:15"
str(get("ORCL", env = new.environment))
## An 'xts' object on 2007-01-03/2014-04-21 containing:
## Data: num [1:1837, 1:6] 17.2 17.6 17.6 17.6 17.9 ...
## - attr(*, "dimnames")=List of 2
## ..$ : NULL
## ..$ : chr [1:6] "ORCL.Open" "ORCL.High" "ORCL.Low" "ORCL.Close" ...
## Indexed by objects of class: [Date] TZ: UTC
## xts Attributes:
## List of 2
## $ src : chr "yahoo"
## $ updated: POSIXct[1:1], format: "2014-04-23 01:31:17"
str(get("MSFT", env = new.environment))
## An 'xts' object on 2007-01-03/2014-04-21 containing:
## Data: num [1:1837, 1:6] 29.9 29.7 29.6 29.6 30 ...
## - attr(*, "dimnames")=List of 2
## ..$ : NULL
## ..$ : chr [1:6] "MSFT.Open" "MSFT.High" "MSFT.Low" "MSFT.Close" ...
## Indexed by objects of class: [Date] TZ: UTC
## xts Attributes:
## List of 2
## $ src : chr "yahoo"
## $ updated: POSIXct[1:1], format: "2014-04-23 01:31:18"
str(get("GOOG", env = new.environment))
## An 'xts' object on 2014-03-27/2014-04-21 containing:
## Data: num [1:17, 1:6] 568 561 567 559 600 ...
## - attr(*, "dimnames")=List of 2
## ..$ : NULL
## ..$ : chr [1:6] "GOOG.Open" "GOOG.High" "GOOG.Low" "GOOG.Close" ...
## Indexed by objects of class: [Date] TZ: UTC
## xts Attributes:
## List of 2
## $ src : chr "yahoo"
## $ updated: POSIXct[1:1], format: "2014-04-23 01:31:18"
# 查看四家公司前六情况
head(get("AAPL", env = new.environment))
## AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume
## 2007-01-03 86.29 86.58 81.90 83.80 44225700
## 2007-01-04 84.05 85.95 83.82 85.66 30259300
## 2007-01-05 85.77 86.20 84.40 85.05 29812200
## 2007-01-08 85.96 86.53 85.28 85.47 28468100
## 2007-01-09 86.45 92.98 85.15 92.57 119617800
## 2007-01-10 94.75 97.80 93.45 97.00 105460000
## AAPL.Adjusted
## 2007-01-03 80.54
## 2007-01-04 82.33
## 2007-01-05 81.75
## 2007-01-08 82.15
## 2007-01-09 88.97
## 2007-01-10 93.23
head(get("ORCL", env = new.environment))
## ORCL.Open ORCL.High ORCL.Low ORCL.Close ORCL.Volume
## 2007-01-03 17.22 17.78 17.10 17.51 52241700
## 2007-01-04 17.55 17.87 17.30 17.68 33559800
## 2007-01-05 17.62 17.76 17.44 17.64 36154800
## 2007-01-08 17.63 17.93 17.45 17.86 31018100
## 2007-01-09 17.93 17.98 17.65 17.82 31417000
## 2007-01-10 17.66 17.80 17.55 17.77 27822400
## ORCL.Adjusted
## 2007-01-03 16.66
## 2007-01-04 16.82
## 2007-01-05 16.78
## 2007-01-08 16.99
## 2007-01-09 16.95
## 2007-01-10 16.90
head(get("MSFT", env = new.environment))
## MSFT.Open MSFT.High MSFT.Low MSFT.Close MSFT.Volume
## 2007-01-03 29.91 30.25 29.40 29.86 76935100
## 2007-01-04 29.70 29.97 29.44 29.81 45774500
## 2007-01-05 29.63 29.75 29.45 29.64 44607200
## 2007-01-08 29.65 30.10 29.53 29.93 50220200
## 2007-01-09 30.00 30.18 29.73 29.96 44636600
## 2007-01-10 29.80 29.89 29.43 29.66 55017400
## MSFT.Adjusted
## 2007-01-03 25.27
## 2007-01-04 25.23
## 2007-01-05 25.08
## 2007-01-08 25.33
## 2007-01-09 25.35
## 2007-01-10 25.10
head(get("GOOG", env = new.environment))
## GOOG.Open GOOG.High GOOG.Low GOOG.Close GOOG.Volume
## 2014-03-27 568.0 568.0 552.9 558.5 13100
## 2014-03-28 561.2 566.4 558.7 560.0 41100
## 2014-03-31 566.9 567.0 556.9 557.0 10800
## 2014-04-01 558.7 568.5 558.7 567.2 7900
## 2014-04-02 600.0 604.8 562.2 567.0 146700
## 2014-04-03 569.9 587.3 564.1 569.7 5085200
## GOOG.Adjusted
## 2014-03-27 558.5
## 2014-03-28 560.0
## 2014-03-31 557.0
## 2014-04-01 567.2
## 2014-04-02 567.0
## 2014-04-03 569.7
1)求出Apple公司在2013.1-2013.10的股票总成交量使用
getSymbols("AAPL", src = "yahoo", from = "2013-01-01", to = "2013-10-31")
## [1] "AAPL"
# 查看抓取数据的情况
summary(AAPL)
## Index AAPL.Open AAPL.High AAPL.Low
## Min. :2013-01-02 Min. :388 Min. :400 Min. :385
## 1st Qu.:2013-03-19 1st Qu.:434 1st Qu.:438 1st Qu.:429
## Median :2013-06-04 Median :455 Median :458 Median :449
## Mean :2013-06-03 Mean :460 Mean :464 Mean :454
## 3rd Qu.:2013-08-17 3rd Qu.:488 3rd Qu.:492 3rd Qu.:484
## Max. :2013-10-31 Max. :554 Max. :555 Max. :542
## AAPL.Close AAPL.Volume AAPL.Adjusted
## Min. :390 Min. : 6965200 Min. :381
## 1st Qu.:432 1st Qu.:10935450 1st Qu.:423
## Median :453 Median :13426000 Median :443
## Mean :459 Mean :15257112 Mean :450
## 3rd Qu.:488 3rd Qu.:17623850 3rd Qu.:482
## Max. :549 Max. :52173300 Max. :532
# 计算2013年1月到10月的股票总成交量
sum(Vo(AAPL))
## [1] 3.219e+09
2)找出这些股票暴涨暴跌的时间点（例如开盘价或收盘价比前一天涨跌幅度超过2%），通过搜索引擎寻找是什么原因导致这些暴涨暴跌，观察（或用程序分析）数据，看就暴涨暴跌事件是否有可以利用的买卖规律
# 查看AAPL涨跌幅超过2%的情况
AAPL <- Delt(Cl(get("AAPL", env = new.environment)))
length(AAPL[which(AAPL > 0.02), ])
## [1] 266
plot(AAPL[which(AAPL > 0.02), ])
# 查看ORCL涨跌幅超过2%的情况
ORCL <- Delt(Cl(get("ORCL", env = new.environment)))
length(ORCL[which(ORCL > 0.02), ])
## [1] 209
plot(ORCL[which(ORCL > 0.02), ])
# 查看MSFT涨跌幅超过2%的情况
MSFT <- Delt(Cl(get("MSFT", env = new.environment)))
length(MSFT[which(MSFT > 0.02), ])
## [1] 185
plot(MSFT[which(MSFT > 0.02), ])
# 查看GOOG涨跌幅超过2%的情况
GOOG <- Delt(Cl(get("GOOG", env = new.environment)))
length(GOOG[which(GOOG > 0.02), ])
## [1] 2
plot(GOOG[which(GOOG > 0.02), ])
## Error: missing value where TRUE/FALSE needed
GOOG股票为出现收盘价涨跌幅超过2%的情况（其股票从2014年3月27号统计至今），其他三家股票（从2007年统计至今）的涨跌幅超过2%的情况来看，波动频数与波动浮动较大的均处于2008年、2009年，主要是由于全球经济动荡原因所致。
3)截取一段时间内这四家公司股价数据（注意分红派息除权对股价的影响），用R中的相关性分析判断股价之间的相关性，或者用R基础课程第八周所讲的MIC指标对其进行分析
# 查看能抓取GOOG股票信息的时间段
periodicity(get("GOOG", env = new.environment))
## Daily periodicity from 2014-03-27 to 2014-04-21
# 故对四家公司的股票抓取时间都统一为从2014-03-27到2014-04-21
getSymbols(c("AAPL", "ORCL", "MSFT", "GOOG"), src = "yahoo", env = new.environment,
from = "2014-03-27", to = "2014-04-21")
## [1] "AAPL" "ORCL" "MSFT" "GOOG"
# 将四家公司股票的每天调整价格整理在一个数据框中
m <- cbind(Ad(get("AAPL", env = new.environment)), Ad(get("ORCL", env = new.environment)),
Ad(get("MSFT", env = new.environment)), Ad(get("GOOG", env = new.environment)))
# 利用corr.test()函数计算四家公司股票的调整价格的相关系数和概率，并画出相关系数图
library(psych)
corr.test(as.data.frame(m))
## Call:corr.test(x = as.data.frame(m))
## Correlation matrix
## AAPL.Adjusted ORCL.Adjusted MSFT.Adjusted GOOG.Adjusted
## AAPL.Adjusted 1.00 0.51 0.70 0.71
## ORCL.Adjusted 0.51 1.00 0.84 0.57
## MSFT.Adjusted 0.70 0.84 1.00 0.76
## GOOG.Adjusted 0.71 0.57 0.76 1.00
## Sample Size
## [1] 17
## Probability values (Entries above the diagonal are adjusted for multiple tests.)
## AAPL.Adjusted ORCL.Adjusted MSFT.Adjusted GOOG.Adjusted
## AAPL.Adjusted 0.00 0.04 0.01 0.01
## ORCL.Adjusted 0.04 0.00 0.00 0.04
## MSFT.Adjusted 0.00 0.00 0.00 0.00
## GOOG.Adjusted 0.00 0.02 0.00 0.00
##
## To see confidence intervals of the correlations, print with the short=FALSE option
library(corrplot)
corrplot.mixed(cor(m), lower = "ellipse", upper = "circle")
从相关系数中容易看出股票ORCL与MSFT间的相关系数达到0.84,属于强相关；APPL与MSFT、GOOG股票间的相关系数也超过0.7，属于明显相关。
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