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

[Gabor Grothendieck]

It will only locate peaks in the middle of a stretch of k values so near
the ends you don't have (k+1)/2 values on either side.

2009/3/6 Vorlow Constantinos <CVorlow at eurobank.gr>:
>
>
> 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
> library(zoo)
> k <- 201
> idx <- rollapply(VIX, k, function(x) which.max(x) == (k+1)/2)
> plot(VIX)
> 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
>>
>>
>>
>> P Think before you print.
>>
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