Re: [R] Computing day-over-day log return for a matrix containing multiple time series

From: sayan dasgupta <kittudg_at_gmail.com>
Date: Mon, 07 Jun 2010 11:42:35 +0530

Hope this helps

a <- matrix(runif(150),nrow=3,ncol=50)
p2r <- function(x) 100 * diff(log(x))
 t(apply(a,1,function(x){p2r(c(x))}))

On Mon, Jun 7, 2010 at 8:41 AM, Anyi Zhu <anyi.zhu_at_gmail.com> wrote:

> Hi all,
>
>
>
> Thanks a lot for anyone's help in advance.
>
>
>
> I am trying to find a way to compute the day-to-day return (log return)
> from
> a n x r matrix containing, n different stocks and price quotes over r days.
> The time series of prices are already split by using unstack function.
>

>
>
> For the result, I would like to see a n x (r-1) matrix, where by each entry
> is the day-over-day return of each stock.
>
>
>
> I tried to look into the zoo package, however it seems to give only the
>
plots but not the actual data.
>

take a look at
vignette("zoo-quickref",package="zoo")
It gives an exact solution to your problem

>
>
>
> Would apply function work in this case?
>
>
>
> Thanks a lot!
>
>
> [[alternative HTML version deleted]]
>
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