R help - Nov 2008 - Manipulation in timeSeries object:how to use the function "applySeries" by daily?

Hi all 
I have some tick-by-tick data and I have calculated the intraday returns. I
want to sum up the intraday squared returns to calculate the daily
volatility(or daily variance). I know that the s-plus FinMerics has the
function aggregateSeries function that can be apply to daily data:
aggregateSeries(x, Fun, by="daily"), but the counterpart function in
R:applySeries can not be apply to daily data. This function has the argument
by=c("monthly", "quartly"). 
Can we find some way to mimic the aggregateSeries function in s-plus?

Thanks in advance

Ted
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take a look at aggregate.zoo in the zoo package
good luck

Stephen

On Mon, Nov 10, 2008 at 9:57 PM, tedzzx <zengzhenxing at gmail.com>
wrote:
>
> Hi all
> I have some tick-by-tick data and I have calculated the intraday returns. I
> want to sum up the intraday squared returns to calculate the daily
> volatility(or daily variance). I know that the s-plus FinMerics has the
> function aggregateSeries function that can be apply to daily data:
> aggregateSeries(x, Fun, by="daily"), but the counterpart function
in
> R:applySeries can not be apply to daily data. This function has the
argument
> by=c("monthly", "quartly").
> Can we find some way to mimic the aggregateSeries function in s-plus?
>
> Thanks in advance
>
> Ted
> --
> View this message in context:
http://www.nabble.com/Manipulation-in-timeSeries-object%3Ahow-to-use-the-function-%22applySeries%22-by-daily--tp20432658p20432658.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help at r-project.org mailing list
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> PLEASE do read the posting guide
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> and provide commented, minimal, self-contained, reproducible code.
>


-- 
Stephen Sefick
Research Scientist
Southeastern Natural Sciences Academy

Let's not spend our time and resources thinking about things that are
so little or so large that all they really do for us is puff us up and
make us feel like gods.  We are mammals, and have not exhausted the
annoying little problems of being mammals.

								-K. Mullis

Take a look at xts, a time series class that extends zoo and is compatible
(forward and backwards) with all major time-series classes, including
timeSeries from Rmetrics.

It has a few functions that may be of interest:

?endpoints
?period.apply

It may also be useful to use the Fortran-based aggregation by time functions
to turn your series into an OHLC series.

See ?to.period

quantmod also has a ?periodReturn function that may be of interest.

Some examples of all the above can be found at  http://www.quantmod.com
http://www.quantmod.com 

HTH
Jeff

tedzzx wrote:
> 
> Hi all 
> I have some tick-by-tick data and I have calculated the intraday returns.
> I want to sum up the intraday squared returns to calculate the daily
> volatility(or daily variance). I know that the s-plus FinMerics has the
> function aggregateSeries function that can be apply to daily data:
> aggregateSeries(x, Fun, by="daily"), but the counterpart function
in
> R:applySeries can not be apply to daily data. This function has the
> argument by=c("monthly", "quartly"). 
> Can we find some way to mimic the aggregateSeries function in s-plus?
> 
> Thanks in advance
> 
> Ted
> 
-- 
View this message in context:
http://www.nabble.com/Manipulation-in-timeSeries-object%3Ahow-to-use-the-function-%22applySeries%22-by-daily--tp20432658p20443829.html
Sent from the R help mailing list archive at Nabble.com.