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

From: Anyi Zhu <anyi.zhu_at_gmail.com>
Date: Mon, 07 Jun 2010 08:00:41 -0400

I did not realise making a zoo object is that convenient. Thanks a lot Gabor.

-----Original Message-----
From: Gabor Grothendieck [mailto:ggrothendieck_at_gmail.com] Sent: June-07-10 5:20 AM
To: anyi.zhu_at_gmail.com
Cc: r-help_at_r-project.org
Subject: Re: [R] Computing day-over-day log return for a matrix containing multiple time series

You can use diff.zoo like this:

library(zoo)
z <- zoo(matrix(1:24, 6))
z
diff(log(z))

# also try
diff(z, arith = FALSE) - 1

See ?diff.zoo
and read the three zoo vignettes (pdf documents): vignette(package = "zoo") # lists them
vignette("zoo")
etc.

On Sun, Jun 6, 2010 at 11:11 PM, 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.
>
>
>
> Would apply function work in this case?
>
>
>
> Thanks a lot!
>
>
>        [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help_at_r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>



R-help_at_r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Mon 07 Jun 2010 - 12:03:46 GMT

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Mon 07 Jun 2010 - 12:10:28 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.

list of date sections of archive