[R-SIG-Finance] [R-sig-finance] Aggregating tick by tick timeSeries [C1]

anass.mouhsine at sgcib.com anass.mouhsine at sgcib.com
Wed Mar 5 15:21:33 CET 2008


Hi guys,


I have a timeSeries object like this one
                        V10
2005-04-08 17:31:41 0.01
2005-04-08 17:31:57 0.02
2005-04-08 17:32:00 0.02
2005-04-08 17:32:57 0.02
2005-04-08 17:38:34 0.02
2005-04-08 17:38:49 0.01

and I would like to aggregate the timeSeries in hours or minutes in order
to apply whatever function on the aggregated data (e.g mean, standard dev,
etc...)
I have seen some aggreagation functions like aggregate in the fSeries
package but it aggregates only monthly or quaterly.
I am sure some of you guys were faced to this kind of issue.

Could anyone give me some hints on how to solve my problem?

thanks in advance

Anass
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