R help - Jun 2010 - Computing day-over-day log return for a matrix containing multiple time series

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]]

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@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@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]]

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.
>