DataCamp course: Importing and managing financial data
The team at DataCamp announced a new R/Finance course series in a recent email:
Subject: Data Mining Tutorial, R/Finance course series, and more!
R/Finance - A new course series in the works
We are working on a whole new course series on applied finance using R. This new series will cover topics such as time series (David S. Matteson), portfolio analysis (Kris Boudt), the xts and zoo packages (Jeffrey Ryan), and much more. Start our first course Intro to Credit Risk Modeling in R today.
I’m excited to announce that I’m working on a course for this new series! It will provide an introduction to importing and managing financial data.
If you’ve ever done anything with financial or economic time series, you know the data come in various shapes, sizes, and periodicities. Getting the data into R can be stressful and time-consuming, especially when you need to merge data from several different sources into one data set. This course will cover importing data from local files as well as from internet sources.
The tentative course outline is below. I’d really appreciate your feedback on what should be included in this introductory course! So let me know if I’ve omitted something, or if you think any of the topics are too advanced.
Introduction to importing and managing financial data
Introduction and downloading data
getSymbols design overview, Quandl
Finding and downloading data from internet sources
E.g. getSymbols.yahoo, getSymbols.FRED, Quandl
Loading and transforming multiple instruments
Checking for errors (i.e. summary stats, visualizing)
Managing data from multiple sources
Setting per-instrument sources and default arguments
setSymbolLookup, saveSymbolLookup, loadSymbolLookup, setDefaults
Handling instruments names that clash or are not valid R object names
Aligning data with different periodicities
Making irregular data regular
Aggregating to lowest frequency
Combining monthly with daily
Combining daily with intraday
Storing and updating data
Creating an initial RData-backed storage
Adjusting financial time-series
Handling errors during update process
If you love using my open-source work (e.g. quantmod, TTR, xts, IBrokers, microbenchmark, blotter, quantstrat, etc.), you can give back by sponsoring me on GitHub. I truly appreciate anything you’re willing and able to give!