Thanks a lot Sayan, I'll give it a try and let you know how it goes.

 

 

 

From: sayan dasgupta [mailto:kittudg@gmail.com] 
Sent: June-07-10 2:13 AM
To: anyi.zhu@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.zhu@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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