Thanks a lot Sayan, I'll give it a try and let you know how it goes.
From: sayan dasgupta [mailto:kitt...@gmail.com] Sent: June-07-10 2:13 AM To: anyi....@gmail.com Cc: r-help@r-project.org Subject: Re: [R] Computing day-over-day log return for a matrix containing multiple 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))})) 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.
