[R-SIG-Finance] question on zoo data manipulation
Manoj
manojsw at gmail.com
Mon Apr 14 14:30:06 CEST 2008
Hi Zoo-experts,
I am working on the data-set below.
Ticker Date BrokerName Acc_Yr Measure lag
XXX 20080320 BRK1 200806 2.2 0
XXX 20080320 BRK1 200906 2.5 0
XXX 20080320 BRK2 200806 2.3 0
XXX 20080320 BRK2 200906 2.8 0
XXX 20080320 BRK3 200806 3.3 0
XXX 20080218 BRK1 200806 2.2 1
XXX 20080218 BRK1 200906 2.5 1
XXX 20080218 BRK2 200806 2.4 1
XXX 20080218 BRK2 200906 2.8 1
Using zoo object, Is there a quicker/efficient way of manipulating the
data as per following criteria?
1) For any given date/lag - compute mean of column "measure" grouped
by different broker & different accounting year?
so the output data-set should look like:
Ticker Date Mean Measure Acc_Yr Lag
XXX 20080320 2.6 200806 0
2) For any lag >= 1, calculate returns on aggregate "measure"
constrained on "intersection" of broker-name across lag 0 & lag 1 (so
BRK3 should drop out) ?
i.e: the intermediate data-set should look like
Ticker Date Mean Measure Acc_Yr Lag
XXX 20080320 2.25 200806 0
XXX 20080318 2.3 200806 1
Note that for 200806, the mean changes from 2.6 as measured above to
2.25 (since BRK3 is dropped in calculation. The final data-set should
then be:
Ticker Date Pct_Change Acc_Yr Lag
XXX 20080218 0.02 200806 1
--------------------
I can accomplish the results using a combination of tapply &
subsetting the data-set for each lag but I thought this kind of
data-structure is ideal for zoo manipulation, hence the help request.
Thanks in Advance.
Manoj
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