# lecture des donnees du cac (obtenues sur yahoo) cacdata <- read.table("cac.csv",header=TRUE,sep=",") str(cacdata); indcac<-rev(cacdata$Close) ; datecac<-rev(cacdata$Date) n<-length(indcac); cac=rep(0,n); cac[2:n]<-100*log(indcac[2:n]/indcac[1:(n-1)]) #data.entry(as.vector(datecac),indcac,cac) # graphiques Ordrerecord.moins<-order(cac)[1:5] Rendement.moins<-cac[Ordrerecord.moins] Date.rendement.moins<-datecac[Ordrerecord.moins] # indice plot(ts(indcac),type="n",axes=FALSE,ylab="prix",xlab=NULL) lines(ts(indcac),col=gray(0.5)) box() axis(2) lab1<-c("","19/Aug/91","11/Sep/01","21/Jan/08","06/Oct/08","") at1<-c(-500,Ordrerecord.moins[4],Ordrerecord.moins[3],Ordrerecord.moins[5], Ordrerecord.moins[1],Ordrerecord.moins[2]) axis(1,at=at1, lab=lab1, cex.axis=1) # rendements plot(ts(cac),type="n",axes=FALSE,ylab='Rendements',xlab=NULL) lines(ts(cac),col=gray(0.5)) box() axis(2) axis(1,at=at1, lab=lab1, cex.axis=1) # rendements entre 02 janvier 08 et 15 Octobre 2008 n1<-which(datecac == "2008-01-02") Ordrerecord.moins<-order(cac[n1:n])[1:3] Rendement.moins<-cac[n1-1+Ordrerecord.moins] Date.rendement.moins<-datecac[n1-1+Ordrerecord.moins] plot(ts(cac[n1:n]),type="n",axes=FALSE,ylab='Rendements') lines(ts(cac[n1:n]),col=gray(0.5)) box() axis(2) lab1<-c("","21/Jan/08","06/Oct/08","10/Oct/08") at1<-c(-500,Ordrerecord.moins[3],Ordrerecord.moins[1],Ordrerecord.moins[2]) axis(1,at=at1, lab=lab1, cex.axis=1) # autocorrelations rend2<-cac^2 op <- par(mfrow = c(2,1),cex.main=1) # 2 x 2 figures par page acf(cac[2:n], ylim=c(-0.2,0.4), main="Autocorrélations empirique (ACRE) des rendements", xlab="Retard",ylab="ACRE") acf(rend2[2:n], ylim=c(-0.2,0.4), main="ACRE des carrés des rendements", xlab="Retard",ylab="ACRE") par(op) # densité min<-min(cac) max<-max(cac) moy<-mean(cac) sdv<-sd(cac) norm<- function(x) dnorm(x,mean=moy, sd=sdv) abs<- seq(min,max,len=100) ord<-sapply(abs,norm) plot(density(cac),type="n",ylab="Densité",,xlab="",main="") lines(density(cac),lwd=2) lines(abs,ord,lty=3,lwd=2) library(e1071) kurtosis(cac) ##############