Dear R-helpers,
In the following example I compute ret and returns the SAME way. In ret I
use compute returns for EACH column and in returns I do it for the whole
data frame. Could someone please tell me why I see a lagged result,by which
I mean ret and returns are different by one lag.
getSymbols("GOOG",src="yahoo")
ret<-apply(GOOG,2,function(x) diff(log(x)) / lag(x,1) )
returns<-diff(log(GOOG))/lag(GOOG,1)
tail(ret)
tail(returns)
> tail(ret)
GOOG.Open GOOG.High GOOG.Low GOOG.Close
2011-07-21 3.188905e-05 3.065345e-05 2.882942e-05 3.022824e-05
2011-07-22 2.160452e-05 1.532645e-05 2.373743e-05 1.961091e-06
2011-07-25 1.241901e-05 5.334479e-06 1.119182e-05 9.213213e-06
2011-07-26 -2.279176e-06 -1.672208e-05 -3.306823e-05 -3.997397e-05
2011-07-27 -3.178693e-05 -1.294157e-05 -4.791985e-06 1.005828e-05
2011-07-28 1.060350e-05 2.464065e-05 2.583624e-05 5.395451e-05
GOOG.Volume GOOG.Adjusted
2011-07-21 4.835664e-09 3.022824e-05
2011-07-22 -3.379734e-08 1.961091e-06
2011-07-25 -9.265378e-08 9.213213e-06
2011-07-26 2.212510e-07 -3.997397e-05
2011-07-27 -5.989484e-08 1.005828e-05
2011-07-28 7.472583e-09 5.395451e-05> tail(returns)
GOOG.Open GOOG.High GOOG.Low GOOG.Close
2011-07-21 -2.262875e-05 1.432963e-05 -3.784855e-06 3.252347e-05
2011-07-22 3.188905e-05 3.065345e-05 2.882942e-05 3.022824e-05
2011-07-25 2.160452e-05 1.532645e-05 2.373743e-05 1.961091e-06
2011-07-26 1.241901e-05 5.334479e-06 1.119182e-05 9.213213e-06
2011-07-27 -2.279176e-06 -1.672208e-05 -3.306823e-05 -3.997397e-05
2011-07-28 -3.178693e-05 -1.294157e-05 -4.791985e-06 1.005828e-05
GOOG.Volume GOOG.Adjusted
2011-07-21 1.988491e-07 3.252347e-05
2011-07-22 4.835664e-09 3.022824e-05
2011-07-25 -3.379734e-08 1.961091e-06
2011-07-26 -9.265378e-08 9.213213e-06
2011-07-27 2.212510e-07 -3.997397e-05
2011-07-28 -5.989484e-08 1.005828e-05>
Many thanks for your help.
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(oops, forgot to cc. the list) On Jul 29, 2011, at 08:09 , Ashim Kapoor wrote:> Dear R-helpers, > > In the following example I compute ret and returns the SAME way. In ret I > use compute returns for EACH column and in returns I do it for the whole > data frame. Could someone please tell me why I see a lagged result,by which > I mean ret and returns are different by one lag. > > > getSymbols("GOOG",src="yahoo") > ret<-apply(GOOG,2,function(x) diff(log(x)) / lag(x,1) ) > returns<-diff(log(GOOG))/lag(GOOG,1) > tail(ret) > tail(returns)Well, first of all: This is an issue with contributed packages (at least quantmod, xts) and you should tell us so. Secondly, you also forgot to tell us about the warning about recycling, which is a pretty strong hint about what is going on. It is against your own interests to leave readers guessing like that. In essence, diff'ed _vectors_ are one element shorter than the lagged ones, so the ratio will recycle the first diff into the last position (and create garbage). diff.xts tries to be smarter and pads the differences with NA so that this doesn't happen. Notice that if you just remove the last element instead of lagging x, then you do indeed get the same results (save for a line of NA at the top)> tail(apply(GOOG,2,function(x)diff(log(x))/x[-1152]))GOOG.Open GOOG.High GOOG.Low GOOG.Close 2011-07-21 -2.262875e-05 1.432963e-05 -3.784855e-06 3.252347e-05 2011-07-22 3.188905e-05 3.065345e-05 2.882942e-05 3.022824e-05 2011-07-25 2.160452e-05 1.532645e-05 2.373743e-05 1.961091e-06 2011-07-26 1.241901e-05 5.334479e-06 1.119182e-05 9.213213e-06 2011-07-27 -2.279176e-06 -1.672208e-05 -3.306823e-05 -3.997397e-05 2011-07-28 -3.178693e-05 -1.294157e-05 -4.791985e-06 1.005828e-05 GOOG.Volume GOOG.Adjusted 2011-07-21 1.988491e-07 3.252347e-05 2011-07-22 4.835664e-09 3.022824e-05 2011-07-25 -3.379734e-08 1.961091e-06 2011-07-26 -9.265378e-08 9.213213e-06 2011-07-27 2.212510e-07 -3.997397e-05 2011-07-28 -5.989484e-08 1.005828e-05> tail(diff(log(GOOG))/lag(GOOG,1))GOOG.Open GOOG.High GOOG.Low GOOG.Close 2011-07-21 -2.262875e-05 1.432963e-05 -3.784855e-06 3.252347e-05 2011-07-22 3.188905e-05 3.065345e-05 2.882942e-05 3.022824e-05 2011-07-25 2.160452e-05 1.532645e-05 2.373743e-05 1.961091e-06 2011-07-26 1.241901e-05 5.334479e-06 1.119182e-05 9.213213e-06 2011-07-27 -2.279176e-06 -1.672208e-05 -3.306823e-05 -3.997397e-05 2011-07-28 -3.178693e-05 -1.294157e-05 -4.791985e-06 1.005828e-05 GOOG.Volume GOOG.Adjusted 2011-07-21 1.988491e-07 3.252347e-05 2011-07-22 4.835664e-09 3.022824e-05 2011-07-25 -3.379734e-08 1.961091e-06 2011-07-26 -9.265378e-08 9.213213e-06 2011-07-27 2.212510e-07 -3.997397e-05 2011-07-28 -5.989484e-08 1.005828e-05 -- Peter Dalgaard, Professor, Center for Statistics, Copenhagen Business School Solbjerg Plads 3, 2000 Frederiksberg, Denmark Phone: (+45)38153501 Email: pd.mes at cbs.dk Priv: PDalgd at gmail.com "D?den skal tape!" --- Nordahl Grieg
Hi: To add to Peter Dalgaard's comments, a look at head(ret) and head(returns) would also have clued you in:> head(ret, 1)GOOG.Open GOOG.High GOOG.Low GOOG.Close GOOG.Volume 2007-01-03 1.377067e-05 3.184271e-05 3.378641e-05 7.049545e-05 3.01405e-09 GOOG.Adjusted 2007-01-03 7.049545e-05> head(returns, 1)GOOG.Open GOOG.High GOOG.Low GOOG.Close GOOG.Volume GOOG.Adjusted 2007-01-03 NA NA NA NA NA NA Dennis On Thu, Jul 28, 2011 at 11:09 PM, Ashim Kapoor <ashimkapoor at gmail.com> wrote:> Dear R-helpers, > > In the following example I compute ret and returns the SAME way. In ret I > use compute returns for EACH column and in returns I do it for the whole > data frame. Could someone please tell me why I see a lagged result,by which > I mean ret and returns are different by one lag. > > > getSymbols("GOOG",src="yahoo") > ret<-apply(GOOG,2,function(x) diff(log(x)) / lag(x,1) ) > returns<-diff(log(GOOG))/lag(GOOG,1) > tail(ret) > tail(returns) > >> tail(ret) > ? ? ? ? ? ? ? GOOG.Open ? ? GOOG.High ? ? ?GOOG.Low ? ?GOOG.Close > 2011-07-21 ?3.188905e-05 ?3.065345e-05 ?2.882942e-05 ?3.022824e-05 > 2011-07-22 ?2.160452e-05 ?1.532645e-05 ?2.373743e-05 ?1.961091e-06 > 2011-07-25 ?1.241901e-05 ?5.334479e-06 ?1.119182e-05 ?9.213213e-06 > 2011-07-26 -2.279176e-06 -1.672208e-05 -3.306823e-05 -3.997397e-05 > 2011-07-27 -3.178693e-05 -1.294157e-05 -4.791985e-06 ?1.005828e-05 > 2011-07-28 ?1.060350e-05 ?2.464065e-05 ?2.583624e-05 ?5.395451e-05 > ? ? ? ? ? ? GOOG.Volume GOOG.Adjusted > 2011-07-21 ?4.835664e-09 ?3.022824e-05 > 2011-07-22 -3.379734e-08 ?1.961091e-06 > 2011-07-25 -9.265378e-08 ?9.213213e-06 > 2011-07-26 ?2.212510e-07 -3.997397e-05 > 2011-07-27 -5.989484e-08 ?1.005828e-05 > 2011-07-28 ?7.472583e-09 ?5.395451e-05 >> tail(returns) > ? ? ? ? ? ? ? GOOG.Open ? ? GOOG.High ? ? ?GOOG.Low ? ?GOOG.Close > 2011-07-21 -2.262875e-05 ?1.432963e-05 -3.784855e-06 ?3.252347e-05 > 2011-07-22 ?3.188905e-05 ?3.065345e-05 ?2.882942e-05 ?3.022824e-05 > 2011-07-25 ?2.160452e-05 ?1.532645e-05 ?2.373743e-05 ?1.961091e-06 > 2011-07-26 ?1.241901e-05 ?5.334479e-06 ?1.119182e-05 ?9.213213e-06 > 2011-07-27 -2.279176e-06 -1.672208e-05 -3.306823e-05 -3.997397e-05 > 2011-07-28 -3.178693e-05 -1.294157e-05 -4.791985e-06 ?1.005828e-05 > ? ? ? ? ? ? GOOG.Volume GOOG.Adjusted > 2011-07-21 ?1.988491e-07 ?3.252347e-05 > 2011-07-22 ?4.835664e-09 ?3.022824e-05 > 2011-07-25 -3.379734e-08 ?1.961091e-06 > 2011-07-26 -9.265378e-08 ?9.213213e-06 > 2011-07-27 ?2.212510e-07 -3.997397e-05 > 2011-07-28 -5.989484e-08 ?1.005828e-05 >> > > Many thanks for your help. > > ? ? ? ?[[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. >