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alexchinco/plot--investors-and-supply-constraint--11jun2016.R

Created June 24, 2016 16:04
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Create figure for blog post: "Investor Holdings, Naïve Beliefs, and Artificial Supply Constraints"
Raw
plot--investors-and-supply-constraint--11jun2016.R
###########################################################################
###########################################################################
## @purpose: Plot supply constraint imposed by investors purchases.
## ------------------------------------------------------------------------
## @author: Alex Chinco
## @date: 11-JUN-2016
###########################################################################
###########################################################################
###########################################################################
###########################################################################
## @section: Prep workspace
###########################################################################
###########################################################################
options(width=200, digits=6, digits.secs=6)
rm(list=ls())
library(foreign)
library(grid)
library(plyr)
library(ggplot2)
library(reshape)
library(xtable)
library(Cairo)
library(sparkTable)
library(vars)
library(scales)
library(foreach)
library(doMC)
registerDoMC(8)
library(tikzDevice)
print(options('tikzLatexPackages'))
options(tikzLatexPackages =
c("\\usepackage{tikz}\n",
"\\usepackage[active,tightpage,psfixbb]{preview}\n",
"\\PreviewEnvironment{pgfpicture}\n",
"\\setlength\\PreviewBorder{0pt}\n",
"\\usepackage{amsmath}\n",
"\\usepackage{pxfonts}\n",
"\\usepackage{bm}\n",
"\\usepackage{xfrac}\n"
)
)
setTikzDefaults(overwrite = FALSE)
print(options('tikzLatexPackages'))
scl.str.DAT_DIR <- "~/Dropbox/research/trading_volume_and_supply/data/"
scl.str.FIG_DIR <- "~/Dropbox/research/trading_volume_and_supply/figures/"
set.seed(12356)
## #########################################################################
## #########################################################################
## @section: Define global parameters
## #########################################################################
## #########################################################################
scl.flt.GAM_O_O <- 120/121
scl.flt.GAM_O_FS <- 1/121
scl.flt.GAM_I_I <- 6/7
scl.flt.GAM_I_FS <- 1/7
scl.flt.GAM_FS_FS <- 12/13
scl.flt.GAM_FS_O <- 2/39
scl.flt.GAM_FS_I <- 1/39
## #########################################################################
## #########################################################################
## @section: Compute constraint values
## #########################################################################
## #########################################################################
mat.df.PLOT <- data.frame(h = rep(seq(1, 30), 3), variable = sort(rep(c(0.02, 0.04, 0.08), 30)), value = NA)
mat.df.PLOT$value <- (scl.flt.GAM_I_I^mat.df.PLOT$h * mat.df.PLOT$variable)/(1 - scl.flt.GAM_O_O^mat.df.PLOT$h * (0.90 - mat.df.PLOT$variable))
mat.df.PLOT$variable <- as.character(mat.df.PLOT$variable)
mat.df.PLOT$variable <- paste("$\\textit{investor} = ", mat.df.PLOT$variable, "$", sep = "")
mat.df.PLOT$variable <- factor(mat.df.PLOT$variable)
mat.df.PLOT$variable <- factor(mat.df.PLOT$variable, levels = rev(levels(mat.df.PLOT$variable)))
## #########################################################################
## #########################################################################
## @section: Plot results
## #########################################################################
## #########################################################################
theme_set(theme_bw())
scl.str.RAW_FILE <- "plot--investors-and-supply-constraints--11jun2016"
scl.str.TEX_FILE <- paste(scl.str.RAW_FILE,'.tex',sep='')
scl.str.PDF_FILE <- paste(scl.str.RAW_FILE,'.pdf',sep='')
scl.str.PNG_FILE <- paste(scl.str.RAW_FILE,'.png',sep='')
scl.str.AUX_FILE <- paste(scl.str.RAW_FILE,'.aux',sep='')
scl.str.LOG_FILE <- paste(scl.str.RAW_FILE,'.log',sep='')
tikz(file = scl.str.TEX_FILE, height = 2, width = 7, standAlone=TRUE)
obj.gg2.PLOT <- ggplot(data = mat.df.PLOT)
obj.gg2.PLOT <- obj.gg2.PLOT + scale_colour_brewer(palette = "Set1")
obj.gg2.PLOT <- obj.gg2.PLOT + geom_hline(yintercept = 0,
size = 1.00,
alpha = 0.75
)
obj.gg2.PLOT <- obj.gg2.PLOT + geom_path(aes(x = h,
y = value,
group = variable,
colour = variable,
linetype = variable
),
size = 2.00,
alpha = 0.75
)
obj.gg2.PLOT <- obj.gg2.PLOT + xlab("$h$, in months")
obj.gg2.PLOT <- obj.gg2.PLOT + ylab("$\\textit{constraint}_h$")
obj.gg2.PLOT <- obj.gg2.PLOT + coord_cartesian(xlim = c(1, 30), ylim = c(0, 0.40))
obj.gg2.PLOT <- obj.gg2.PLOT + scale_x_continuous(breaks = c(1,2,3,6,9,12,18,24,30))
obj.gg2.PLOT <- obj.gg2.PLOT + scale_y_continuous(breaks = c(0.00, 0.10, 0.20, 0.30, 0.40))
obj.gg2.PLOT <- obj.gg2.PLOT + labs(colour = "", linetype = "")
obj.gg2.PLOT <- obj.gg2.PLOT + theme(plot.margin = unit(c(1,0.15,0.15,0.15), "lines"),
axis.text = element_text(size = 10),
axis.title = element_text(size = 10),
plot.title = element_text(vjust = 1.75),
panel.grid.minor = element_blank(),
legend.position = c(0.75, 0.65),
legend.background = element_blank()
)
obj.gg2.PLOT <- obj.gg2.PLOT + ggtitle("Supply Constraint Imposed by Investors")
print(obj.gg2.PLOT)
dev.off()
system(paste('lualatex', file.path(scl.str.TEX_FILE)), ignore.stdout = TRUE)
system(paste('mv ', scl.str.PDF_FILE, ' ', scl.str.FIG_DIR, sep = ''))
system(paste('rm ', scl.str.TEX_FILE, sep = ''))
system(paste('rm ', scl.str.AUX_FILE, sep = ''))
system(paste('rm ', scl.str.LOG_FILE, sep = ''))
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