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Technical Analysis Of Ftse 100 Index Using Quantmod Package

Author

Listed:
  • Sorin Marius Pirnac

    (Academy of Economic Studies Faculty of Economic Informatics and Cybernetics)

Abstract

The goal of this article is to present the functionality of quantmod package to provide complex technical analysis for any financial time series ( shares, indices, forex pairs, bonds, commodities, etc). Using quantmod, a special package created for quantitative analysis in R programming language, we can create trading/investing strategies, algorithmic trading or Risk Management plans on short or long term. I selected 5 technical indicators for this analysis and I used daily prices for FTSE 100 from March 2012 to January 2015.

Suggested Citation

  • Sorin Marius Pirnac, 2015. "Technical Analysis Of Ftse 100 Index Using Quantmod Package," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 2(43), pages 114-122.
    • Handle: RePEc:aio:aucsse:v:2:y:2015:i:43:p:114-122
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    File URL: http://feaa.ucv.ro/AUCSSE/0043v2-011.pdf
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    More about this item

    Keywords

    Technical Analysis; R; FTSE; quantmod; financial markets; volatility ; algorithmic trading;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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