[R-SIG-Finance] Locating peaks in zoo objects in one go
ggrothendieck at gmail.com
Thu Mar 5 17:37:59 CET 2009
This locates peaks over plus or minus (k+1)/2
days (k odd):
# VIX from post
k <- 201
idx <- rollapply(VIX, k, function(x) which.max(x) == (k+1)/2)
abline(v = time(idx)[idx])
On Thu, Mar 5, 2009 at 10:00 AM, Vorlow Constantinos
<CVorlow at eurobank.gr> wrote:
> Dear R users,
> The following code will download the VIX volatility index to a variable
> called "VIX" (what else)...
> VIX <- get.hist.quote("^VIX", start = "1990-01-01", quote = "Close")
> Is there a way I could determine (in one go or iteratively), where the
> peaks (local maxima) lie in the sequence
> (say by using an arbitrary rule i.e., locate prices which are greater
> than x% the sample's average or a certain value) ???
> I would like to be able to capture the prices as well as their
> Thanks in advance &
> Best regards,
> Costas Vorlow
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