[R-SIG-Finance] Locating peaks in zoo objects in one go

Vorlow Constantinos CVorlow at eurobank.gr
Fri Mar 6 17:16:36 CET 2009


Dear Gabor,

Thanks for your prompt answer. One question though:

It seems to be missing the VIX peaks at the beginning and the very end of the history of the sequence.

What am I missing? I am trying to understand it from the help pages but...
Costas Vorlow 

-----Original Message-----
From: Gabor Grothendieck [mailto:ggrothendieck at gmail.com] 
Sent: Thursday, March 05, 2009 6:39 PM
To: Vorlow Constantinos; costas at vorlow.org
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Locating peaks in zoo objects in one go

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)...
> library(tseries)
> 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 
> time-stamps....
> Thanks in advance &
> Best regards,
> Costas Vorlow
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