米国株式とUSDJPYの2020年1月1日からの相関構造

米国株式とUSDJPYの2020年1月1日からの相関構造

ドル円（USDJPY）が 0.6% で ダウ平均が2.8% くらいのリスク（標準偏差、日率）

> 100*sd(df$`usdjpy=x`)
[1] 0.6186612
> 100*sd(df$dji)
[1] 2.842537

全体

library("dplyr")
library("tidyr")
library("stringr")
library("tidyquant")
library("PerformanceAnalytics")
get_from_yahoo <- function(x, range_date){
  # Why max(range_date) +1? because: from <= x < to
  df <- tq_get(x, from = min(range_date), to = max(range_date) + 1)
  dplyr::select(df, symbol, date, adjusted) %>%
    rename(price=adjusted) %>%
    mutate(symbol = str_to_lower(str_replace_all(symbol, "\\^", ""))) %>%
    arrange(date)
}
arithmetic_return <- function(x){
  c(NA, x[-1]/x[-length(x)] - 1)
}
# https://finance.yahoo.com/quote/%5EDJI/
range_date <- c(lubridate::ymd("20200101"), lubridate::ymd("20200818"))
symbols <- c("^DJI", "USDJPY=X")
df <- purrr::map_df(symbols, ~ get_from_yahoo(.x, range_date)) %>%
  tidyr::pivot_wider(names_from = symbol, values_from = price) %>%
  arrange(date) %>%
  mutate_at(
    vars(-"date"),
    arithmetic_return
  ) %>%
  na.omit()

chart.Correlation(dplyr::select(df, -date), histogram=TRUE, pch=19)
100*sd(df$`usdjpy=x`)
100*sd(df$dji)