similar to: Problem in convert function in RTAQ package

Hello, I am closely following the RTAQ documentation in order to load my dataset into R, however I get this warning when running the convert function in the following way: convert(from="2010-11-01", to="2010-11-01",datasource=datasource, datadestination=datadestination,trades=T,quotes=T,ticker="BAC",dir=T, extention="csv", header=T,

Dear All, While i am trying convert data frame object to zoo object I am getting numeric(0) error in performance analytics package. The source code i am using from this website to learn r in finance: https://faculty.washington.edu/ezivot/econ424/returnCalculations.r # create zoo objects from data.frame objects dates.sbux = as.yearmon(sbux.df$Date, format="%m/%d/%Y") dates.msft =

Dear Sir, Thanks for your mail and help. I got this error while trying to run your code. sbux1.z <- read.csv.zoo(u, FUN = as.yearmon, format = fmt) Error in read.table(file = file, header = header, sep = sep, quote = quote, : 'file' must be a character string or connection Thanks and Regards, Upananda Pani On Tue, Sep 19, 2017 at 4:31 PM, Upananda Pani <upananda.pani at

Hi Gabor's code works as expeceted without error. What is "u" in your case? Cheers Petr > -----Original Message----- > From: R-help [mailto:r-help-bounces at r-project.org] On Behalf Of Upananda > Pani > Sent: Wednesday, September 20, 2017 11:06 AM > To: Gabor Grothendieck <ggrothendieck at gmail.com> > Cc: r-help <r-help at r-project.org> >

Dear All, Thanks a lot for your help. Would you please let me know if i want to read a csv file as zoo object from my local file rather than directly from the website, how to do that? library(zoo) u <- "https://faculty.washington.edu/ezivot/econ424/sbuxPrices.csv" fmt <- "%m/%d/%Y" With sincere regards, Upananda Pani On Wed, Sep 20, 2017 at 3:22 PM, PIKAL Petr

Hi everybody, I am sorry that I am kind of spamming this forum, but I have searched for some input everywhere and cant really find a nice solution for my problem. Data looks like: price 2011-11-01 08:00:00 0.000000000 2011-11-01 08:00:00 0.000000000 2011-11-01 08:02:00 0.000000000 2011-11-01 08:03:00 -0.017033339 2011-11-01 08:13:00 0.000690001 2011-11-01

Hi, I tried to google for any solution for asof join operator in R. But I couldn't find one. The asof join operator AsOf(A,B) merges 2 time series by looking for latest available value of B prior to each time point in A. For example, A <- xts(c(10,15,20,25), order.by=as.POSIXct(c("2011-09-01","2011-09-09","2011-09-10","2011-09-15")) B <-

I think the code is part of the RTAQ package but is not included in it, as I obtained it from https://r-forge.r-project.org/scm/viewvc.php/pkg/RTAQ/R/HAR_model.R?view=markup&root=blotter&sortby=author&pathrev=1028. It is not my code and I make no claim to other's good work, and apologize if I should even be posting it I am not sure, but in the transform function it allows to

Dear All, Are there any packages in R to carry out the jump detection test and find the jump sizes and its its time of occurence on high frequency data(5 minute interval) using non-parametric approach suggested by Lee and Mykland in their paper "Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics". Regards and Thanks in advance, Rahul [[alternative HTML version

CRAN (and crantastic) updates this week New packages ------------ * EffectStars (1.0) Maintainer: Unknown Author(s): Gunther Schauberger License: GPL-2 http://crantastic.org/packages/EffectStars The package provides functions to visualize regression models with categorical response. The effects of the covariates are plotted with star plots in order to allow for an optical

Hello, florian wrote > > Hy, > > I want to select an interval of a time series (containing intraday data) > by the data and a certain time frame (e.g. 9 AM to 10 AM). However, I do > not know how to specify the time during the day: > > #load data > library(RTAQ) > data("sample_tdata") > data=sample_tdata > return=makeReturns(data$PRICE) > >

R/Finance 2010: Applied Finance with R April 16 & 17, Chicago, IL, US www.RinFinance.com <http://www.RinFinance.com> The second annual R/Finance conference for applied finance using R, the premier free software system for statistical computation and graphics, will be held this spring in Chicago, IL, USA on Friday April 16 and Saturday April 17, 2010. Registration is still open and