Assignment #2.1

In [4]:

    

library(zoo)
library(xts)
library(Quandl)


    

In [2]:

    

# Get data from Quandl
spx = Quandl("YAHOO/INDEX_GSPC", start_date="2014-01-01")
dax = Quandl("YAHOO/INDEX_GDAXI", start_date="2014-01-01")
exc = Quandl("ECB/EURUSD", start_date="2014-01-01") #exchange rate eurusd


# Observe the data
print("SPX Index")
head(spx)
print("DAX Index")
head(dax)
print("EUR/USD")
head(exc)


    

    




[1] "SPX Index"






    






Date
Open
High
Low
Close
Volume
Adjusted Close

	
2016-10-07
2164.19   
2165.86   
2144.85   
2153.74   
3619890000
2153.74   
	
2016-10-06
2158.22   
2162.93   
2150.28   
2160.77   
3461550000
2160.77   
	
2016-10-05
2155.15   
2163.95   
2155.15   
2159.73   
3906550000
2159.73   
	
2016-10-04
2163.37   
2165.46   
2144.01   
2150.49   
3750890000
2150.49   
	
2016-10-03
2164.33   
2164.41   
2154.77   
2161.20   
3137550000
2161.20   
	
2016-09-30
2156.51   
2175.30   
2156.51   
2168.27   
4173340000
2168.27   









    




[1] "DAX Index"






    






Date
Open
High
Low
Close
Volume
Adjusted Close

	
2016-10-07
10549.69  
10579.09  
10465.35  
10490.86  
121513900 
10490.86  
	
2016-10-06
10641.13  
10641.13  
10537.68  
10568.80  
105395600 
10568.80  
	
2016-10-05
10535.62  
10622.44  
10486.63  
10585.78  
 93834300 
10585.78  
	
2016-10-04
10492.97  
10646.72  
10492.25  
10619.61  
127581300 
10619.61  
	
2016-09-30
10240.69  
10531.26  
10189.94  
10511.02  
182523300 
10511.02  
	
2016-09-29
10545.60  
10575.34  
10370.23  
10405.54  
100763500 
10405.54  









    




[1] "EUR/USD"






    






Date
Value

	
2016-10-07
1.1140    
	
2016-10-06
1.1185    
	
2016-10-05
1.1211    
	
2016-10-04
1.1161    
	
2016-10-03
1.1236    
	
2016-09-30
1.1161    

In [17]:

    

zspx = zoo(spx$Close, order.by=spx$Date)
zdax = zoo(dax$Close, order.by=dax$Date)
#zexc = zoo(exc$Value, order.by=exc$Date)

#zspx.rets = log(lag(zspx)) - log(zspx)
#zdax.rets = log(lag(zdax)) - log(zdax)
#zexc.rets = log(lag(zexc)) - log(zexc)

eurusd = zoo(exc$Value, order.by=exc$Date)
daxspx = zdax/zspx
spxdax = zspx/zdax


    

In [27]:

    

m_eurusd_spxdax = merge(eurusd,spxdax)
m_eurusd_daxspx = merge(eurusd,daxspx)
plot(m_eurusd_spxdax)
plot(m_eurusd_daxspx)


    

In [29]:

    

print(cor(na.locf(m_eurusd_spxdax$eurusd),na.locf(m_eurusd_spxdax$spxdax)))
print(cor(na.locf(m_eurusd_daxspx$eurusd),na.locf(m_eurusd_daxspx$daxspx)))


    

    




[1] 0.219871
[1] -0.2368173