> -----Original Message----- > From: r-help-boun...@r-project.org > [mailto:r-help-boun...@r-project.org] On Behalf Of sayan dasgupta > Sent: Sunday, June 06, 2010 11:13 PM > To: anyi....@gmail.com > Cc: r-help@r-project.org > Subject: Re: [R] Computing day-over-day log return for a > matrix containingmultiple 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))}))
The following expressions compute the same thing as that t(apply(...)) does: 100 * (log(a[,-1]) - log(a[,-ncol(a)])) or 100 * log(a[,-1]/a[,-ncol(a)]) The [,-1] (all but the first column) and [,-ncol(a)] (all but the last column) is a way to work with lagged data. Bill Dunlap Spotfire, TIBCO Software wdunlap tibco.com > > > > > On Mon, Jun 7, 2010 at 8:41 AM, Anyi Zhu <anyi....@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]] > > ______________________________________________ > 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. > ______________________________________________ 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.