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Kurs

Importing and Managing Financial Data in R

MedelnivåKunskapsnivå

Uppdaterad 2026-06

Learn how to access financial data from local files as well as from internet sources.

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RApplied Finance

5 tim

14 videor

51 Övningar

4,300 XP

20,916

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Kursbeskrivning

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.

Förkunskapskrav

Manipulating Time Series Data in R

1

Introduction and Downloading Data

A wealth of financial and economic data are available online. Learn how getSymbols() and Quandl() make it easy to access data from a variety of sources.

Welcome to the course!

Introducing getSymbols()

Data sources

Make getSymbols() return the data it retrieves

Finding data from internet sources

Find stock ticker from Yahoo Finance

Download exchange rate data from Oanda

2

Extracting and Transforming Data

You've learned how to import data from online sources, now it's time to see how to extract columns from the imported data. After you've learned how to extract columns from a single object, you will explore how to import, transform, and extract data from multiple instruments.

Extracting columns from financial time series

Extract one column from one instrument

Extract multiple columns from one instrument

Importing and transforming multiple instruments

Combine many instruments into one object

Extract the Close column from many instruments

3

Managing Data from Multiple Sources

Learn how to simplify and streamline your workflow by taking advantage of the ability to customize default arguments to getSymbols(). You will see how to customize defaults by data source, and then how to customize defaults by symbol. You will also learn how to handle problematic instrument symbols.

Setting default arguments for getSymbols()

Set a default data source

Set default arguments for a getSymbols source

Setting per-instrument default arguments

Set default data source for one symbol

Save and load symbol lookup table

How *not* to specify the getSymbols() source

Handling instrument symbols that clash or are not valid R names

Access the object using get() or backticks

Create valid name for one instrument

Create valid names for multiple instruments

4

Aligning Data with Different Periodicities

You've learned how to import, extract, and transform data from multiple data sources. You often have to manipulate data from different sources in order to combine them into a single data set. First, you will learn how to convert sparse, irregular data into a regular series. Then you will review how to aggregate dense data to a lower frequency. Finally, you will learn how to handle issues with intra-day data.

Making irregular data regular

Create a zero-width and regular xts object

Use merge to make an irregular index regular

Aggregating to lower frequency

Aggregate daily data and merge with monthly data

Align series to first and last day of month

Aggregate to weekly, ending on Wednesdays

Aggregating and combining intraday data

Combine data that have timezones

Make irregular intra-day data regular

Fill missing values by trading day

Aggregate irregular intra-day data

5

Importing Text Data, and Adjusting for Corporate Actions

You've learned the core workflow of importing and manipulating financial data. Now you will see how to import data from text files of various formats. Then you will learn how to check data for weirdness and handle missing values. Finally, you will learn how to adjust stock prices for splits and dividends.

Importing text files

Import well-formatted daily OHLC data

Import text files in other formats

Handle date and time in separate columns

Read text file containing multiple instruments

Checking for weirdness

Handle missing values

Visualize imported data

Cross reference sources

Adjusting for corporate actions

Adjust for stock splits and dividends

Download split and dividend data

Adjust univariate data for splits and dividends

When to adjust data

Congratulations!

Importing and Managing Financial Data in R

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