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 07:59:21 -0400

Thanks a lot Sayan, I'll give it a try and let you know how it goes.      

From: sayan dasgupta [mailto:kittudg_at_gmail.com] Sent: June-07-10 2:13 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  

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]]



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.  

        [[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. Received on Mon 07 Jun 2010 - 12:34:45 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 - 12:40:27 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