Actually the 'apply' is not necessary.
The original poster has stocks as rows
rather than the customary columns, so
the following should suffice:
retmat <- diff(log(t(pricemat)))
Questions that are specifically financial
should be sent to r-sig-finance (you need
to subscribe before posting).
On 07/06/2010 07:12, sayan dasgupta wrote:
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!
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Patrick Burns
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(home of 'Some hints for the R beginner'
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