Stoffer and Shumway have a nice hands-on book on time series with R.
Their website is also very instructive. You may also wanna take a look
at the tseries, FinTS and forecasting packages.
Nuno Prista
Michael wrote:
Sender: [EMAIL PROTECTED]
On-Behalf-Of: [EMAIL PROTECTED]
Subject: Re: [R] [R-SIG-Finance] forecasting earnings, sales and gross margin
of a company...
Message-Id: <[EMAIL PROTECTED]>
Recipient: [EMAIL PROTECTED]
--------------------------------------------------------
This information is being sent at the recipient's request or with their
specific understanding. The recipient acknowledges that by sending this
information via electronic means, there is no absolute assurance that the
information will be free from third party access, use, or further
dissemination. This e-mail contains information that is privileged and/or
confidential and may be subject to legal restrictions and penalties regarding
its unauthorized disclosure or other use. You are prohibited from copying,
distributing or otherwise using this information if you are not the intended
recipient. Past performance is not necessarily indicative of future results.
This is not an offer of or the solicitation for any security which will be made
only by private placement memorandum that may be obtained from the applicable
hedge fund. If you have received this e-mail in error, please notify us
immediately by return e-mail and delete this e-mail and all attachments from
your system. Th!
ank You.
------------------------------------------------------------------------
Subject:
Re: [R] [R-SIG-Finance] forecasting earnings, sales and gross margin
of a company...
From:
Michael <[EMAIL PROTECTED]>
Date:
Thu, 23 Oct 2008 12:39:40 -0700
To:
<[EMAIL PROTECTED]>
To:
<[EMAIL PROTECTED]>
CC:
<[EMAIL PROTECTED]>, <[EMAIL PROTECTED]>
Dear folks,
Here is one example of two time series:
http://img523.imageshack.us/my.php?image=twoseriesfm3.jpg
The two series are all year-over-year percentage growth (in percentage).
For Amazon Net Sales Growth data, I have data from Q1 2001 to Q2 2008
(quarterly), whereas for US Real Average Hourly Earnings Growth, I
have data from Q1 1999 to Q3 2008 (original data was monthly and then
I average every three months into quarterly).
So I filled "zero"s to the Amazon Net Sales Growth data.
Intuitively, the US Real Average Hourly Earnings series should lead
the Amazon Net Sales Growth series.
But how to use the statistical methods in R to analyze these two
series and make forecast?
Further, how to incorporate other news and shocks in Sept. - Oct 2008
into the forecasting?
Thanks!
On Thu, Oct 23, 2008 at 2:51 AM, <[EMAIL PROTECTED]> wrote:
Dealing with accounting data is, in statistical terms, an ill-posed problem -
there is not much data and quite a few dimensions. That said, there is a lot of
research out there on applying statistical techniques to accounting data for
the purposes of prediction and classification. But most prediction based on
financial statements is based on much more fundamental techniques (e.g. a
discounted cash flow analysis).
Rory
Rory Winston
RBS Global Banking & Markets
Office: +44 20 7085 4476
-----Original Message-----
From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Michael
Sent: 22 October 2008 23:26
To: r-help; [EMAIL PROTECTED]
Subject: [R-SIG-Finance] forecasting earnings, sales and gross margin of a
company...
Hi all,
I am playing with some companies' balance sheets and income statements and want
to apply what I've just learned from Stats class to see if I can forecast the
companies earnings, sales and gross margin in the short term (3rd and 4th
Quarter), mid-term (2009) and long term (2011, etc. )
I pulled up some data from companies' financial statements over the past a few
years. The companies are techs so don't have long history.
And given regime switching and big changes in the macro condition, I think long
historical data have no use any way... so I have quarterly and annual data...
and I probably need some other time series, for example the GDP, interest rate,
consumer spending, etc.
How do I forecast the performance of the firms using R? I don't have much
experience yet, for example, I probably have to de-trend the timeseries first,
and then do some seasonality adjustment, etc. but I think it's very fun. Are
there good hands-on tutorials about how to do these things in R, with realistic
examples?
Thanks a lot!
_______________________________________________
[EMAIL PROTECTED] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only.
-- If you want to post, subscribe first.
***********************************************************************************
The Royal Bank of Scotland plc. Registered in Scotland No 90312. Registered
Office: 36 St Andrew Square, Edinburgh EH2 2YB.
Authorised and regulated by the Financial Services Authority
This e-mail message is confidential and for use by the
addressee only. If the message is received by anyone other
than the addressee, please return the message to the sender
by replying to it and then delete the message from your
computer. Internet e-mails are not necessarily secure. The
Royal Bank of Scotland plc does not accept responsibility for
changes made to this message after it was sent.
Whilst all reasonable care has been taken to avoid the
transmission of viruses, it is the responsibility of the recipient to
ensure that the onward transmission, opening or use of this
message and any attachments will not adversely affect its
systems or data. No responsibility is accepted by The
Royal Bank of Scotland plc in this regard and the recipient should carry
out such virus and other checks as it considers appropriate.
Visit our websites at:
www.rbs.com
www.rbs.com/gbm
www.rbsgc.com
***********************************************************************************
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
------------------------------------------------------------------------
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
