Revision: 52634
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at October 28, 2011 04:08 by mjaniec
Initial Code
fw20 <- read.csv("fw20_d.csv")
esf <- read.csv("es_f_d.csv")
nrow(fw20); nrow(esf)
D_Change <- log(esf$Close[-1]/esf$Close[-nrow(esf)])
esfc <- cbind(esf[2:nrow(esf),],D_Change)
D_Change <- log(fw20$Close[-1]/fw20$Close[-nrow(fw20)])
OC_Change <- log(fw20$Close/fw20$Open)[2:nrow(fw20)]
fw20c <- cbind(fw20[2:nrow(fw20),],D_Change,OC_Change)
dates <- function(x) {
strptime(x$Date,"%Y-%m-%d")
}
fw20c <- fw20c[which(!is.na(match(as.numeric(dates(fw20c))-86400,as.numeric(dates(esfc))))),]
esfc <- esfc[which(!is.na(match(as.numeric(dates(esfc))+86400,as.numeric(dates(fw20c))))),]
nrow(fw20c); nrow(esfc)
fw20c[1:10,]
esfc[1:10,]
cor(esfc$D_Change,fw20c$D_Change)
cor(esfc$D_Change,fw20c$OC_Change)
cor(fw20c$D_Change,fw20c$OC_Change)
Initial URL
http://www.reakkt.com/2011/10/correlation-doesnt-mean-easy-prediction.html
Initial Description
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WIG20 - S&P500 day-to-day correlation
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R