A Currency Graph

July 27, 2011
By

[This article was first published on mickeymousemodels, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

Here’s a graph in which nodes (and edges) represent currencies (and exchange rates):

library(igraph)
currencies <- factor(c("EUR", "USD", "JPY", "GBP"))
df <- subset(expand.grid(from=currencies, to=currencies),
from != to)
GetExchangeRates <- function(from, to) {
urls <- sprintf("%s/d/quotes.csv?s=%s%s=X&f=b",
"http://download.finance.yahoo.com",
from, to)
GetRateFromUrl <- function(str) {
message("Reading from ", str)
tryCatch(read.csv(url(str), header=FALSE)[1, 1],
error = function(e) NA)
}
sapply(urls, GetRateFromUrl)
}
# If a url connection fails, the corresponding rate will be NA
df$rate <- GetExchangeRates(df$from, df$to)
g <- graph.data.frame(df, directed=TRUE)
g$layout <- layout.fruchterman.reingold(g)
E(g)$label <- E(g)$rate
V(g)$label <- V(g)$name
dev.new(width=10, height=10)
plot(g, main=sprintf("Exchange Rates on %s", Sys.Date()))
savePlot("exchange_rate_graph.png")

I’d like to emulate this post and look for profitable cycles using R. Here’s a first attempt:

# Look for negative-cost cycles
E(g)$weight <- -log(E(g)$rate)
shortest.paths(g)

In this case, the shortest.paths function complains that it “cannot run the Bellman-Ford algorithm” because a “negative loop [was] detected while calculating shortest paths” — great! There’s a negative-cost cycle in there somewhere. But what’s the easiest way to actually find that cycle using R — does anyone have any tips?

To leave a comment for the author, please follow the link and comment on their blog: mickeymousemodels.

R-bloggers.com offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.



If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Comments are closed.

Search R-bloggers

Sponsors

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)