[R] Different result on using apply.

[Dennis Murphy]

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.
>
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