[R] new to R coding.

[R. Michael Weylandt]

Try it yourself:

x = seq(1, 11, by = 2)

diff(log(x))
log(x[-1]/x[-length(x)])
all.equal(diff(log(x)), log(x[-1]/x[-length(x)]))

It seems like you don't really understand logs / log returns and why
they are used by some in quant finance: might I suggest you read this:
http://quantivity.wordpress.com/2011/02/21/why-log-returns/

My quick explanation is that log returns aggregate nicely over time
while simple returns aggregate nicely over a portfolio. Thus, for a
single instrument portfolio, log returns play very nicely with
vectorized thinking in R.

Michael

On Mon, Oct 24, 2011 at 12:39 PM,  <tynashy at yahoo.co.uk> wrote:
> lets say
>> x(t)=c(1,3,5,7,9,11) #value of the index at close of trading day
>
> does this mean these two are the same?
>> d(t) = diff(log( x(t) ) and > d(t) = log ( x(t)/x(t-1) )
>
>
> <quote author='Michael Weylandt'>
> Assuming that d(x) is equal to x, (I don't know a d() function in R)
> these should be the same.
>
> log(a/b) = log(a) - log(b) = diff(log(c(a,b))
>
> If you mean simple returns instead of continuous/log returns, perhaps try
> this:
>
> x[-1]/x[-length(x)] - 1
>
> Michael
>
> On Mon, Oct 24, 2011 at 11:44 AM, tynashy <tynashy at yahoo.co.uk> wrote:
>> how do I code the following in R. I want to produce a vector where dx=log(
>> (d(x))/(d(x-1)) ). I can do it for dx=diff(log(x)). I am learning/trying
>> to
>> model log returns of a stock market index. But instead of using the
>> difference of the closing values of two consecutive days, i want to use
>> the
>> log of the quotient of the two days. any help is most appreciated. d is a
>> vector of the closing values of the stock market index of length 5000.
>>
>> --
>> View this message in context:
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>> Sent from the R help mailing list archive at Nabble.com.
>>
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>>
>
> ______________________________________________
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>
> </quote>
> Quoted from:
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>