[R-SIG-Finance] How to compare two asynchroneous xts time series?

[Anass Mouhsine]

Thanks Joshua

A

Joshua Ulrich wrote:
> On Thu, Jun 11, 2009 at 9:16 AM, anass<anass.mouhsine at gmail.com> wrote:
>   
>> Thx guys,
>>
>> well the error I got is elswhere and I thought it was due to the asynchrone
>> timeseries.
>>
>> let's assume that I got the intraday ratio, what I do is the following
>>
>> d<-index(to.daily(ratio))
>> for (i in 1:length(d)){
>>  tstart<-paste(d[i], "09:00:00")
>>  tend<-paste(d[i],"17:00:00")
>> ts_ratio<-ratio[tstart:tend]
>>     
>
> This line is incorrect.  I don't believe the ":" sequence operator in
> package:base is defined for character strings (see ?":").  This is
> what is causing an error.  What you probably intended is this:
> ts_ratio <- ratio[paste(tstart,tend,sep="::")]
>
>   
>> #
>> # other operations
>> #
>> }
>>
>> and I have this error
>> Error in tstart:tend : argument NA / NaN
>>
>> So I assume if it is not due to asynchrone series, it is due to the
>> subsetting.
>> Does xts objects accept this kind of subset?
>>
>>
>> On Thu, Jun 11, 2009 at 4:05 PM, Jeff Ryan <jeff.a.ryan at gmail.com> wrote:
>>     
>>> Anass,
>>>
>>> xts and zoo automatically align series via "merge" when performing Ops
>>> methods (+/-*...etc)
>>>
>>> This is what you want in most cases.
>>>
>>> See ?merge.xts, ?xts, ?merge.zoo and ?Ops.zoo
>>>
>>> HTH
>>> Jeff
>>>
>>> On Thu, Jun 11, 2009 at 9:00 AM, Joshua Ulrich<josh.m.ulrich at gmail.com>
>>> wrote:
>>>       
>>>> Hi Anass,
>>>>
>>>> Can you provide an example of what you're trying to do and what error
>>>> you are receiving?  I'm able to run the code below without error.
>>>>
>>>>         
>>>>> require(xts)
>>>>>
>>>>> Lines <-
>>>>>           
>>>> + "2008-06-02 09:00:00,5007.0
>>>> + 2008-06-02 09:01:00,5010.0
>>>> + 2008-06-02 09:02:00,5014.0
>>>> + 2008-06-02 09:03:00,5012.5
>>>> + 2008-06-02 09:04:00,5013.5
>>>> + 2008-06-02 09:05:00,5009.5
>>>> + 2008-06-02 09:06:00,5007.0
>>>> + 2008-06-02 09:07:00,5006.5
>>>> + 2008-06-02 09:08:00,5008.5
>>>> + 2008-06-02 09:09:00,5004.5"
>>>>         
>>>>> one <- read.zoo(textConnection(Lines),sep=',',FUN=as.POSIXct)
>>>>> one <- as.xts(one)
>>>>>
>>>>> Lines <-
>>>>>           
>>>> + "2008-06-02 09:01:00,7115.0
>>>> + 2008-06-02 09:03:00,7117.0
>>>> + 2008-06-02 09:05:00,7111.0
>>>> + 2008-06-02 09:07:00,7107.0
>>>> + 2008-06-02 09:09:00,7102.5"
>>>>         
>>>>> two <- read.zoo(textConnection(Lines),sep=',',FUN=as.POSIXct)
>>>>> two <- as.xts(two)
>>>>>
>>>>> one/two
>>>>>           
>>>>                           e1
>>>> 2008-06-02 09:01:00 0.7041462
>>>> 2008-06-02 09:03:00 0.7042996
>>>> 2008-06-02 09:05:00 0.7044719
>>>> 2008-06-02 09:07:00 0.7044463
>>>> 2008-06-02 09:09:00 0.7046111
>>>>         
>>>>> two/one
>>>>>           
>>>>                          e1
>>>> 2008-06-02 09:01:00 1.420160
>>>> 2008-06-02 09:03:00 1.419850
>>>> 2008-06-02 09:05:00 1.419503
>>>> 2008-06-02 09:07:00 1.419555
>>>> 2008-06-02 09:09:00 1.419223
>>>>         
>>>> Best,
>>>> Joshua
>>>> --
>>>> http://www.fosstrading.com
>>>>
>>>>
>>>>
>>>> On Thu, Jun 11, 2009 at 6:11 AM, Anass
>>>> Mouhsine<anass.mouhsine at gmail.com> wrote:
>>>>         
>>>>> Hi all,
>>>>>
>>>>> Suppose I have two xts time series with asynchroneous time index.
>>>>> I would like for example to calculate a ratio of those two series, but
>>>>> I
>>>>> don't know how to get an intersection of the two indices in order to
>>>>> avoid
>>>>> errors.
>>>>>
>>>>> an example of the data is the following
>>>>>
>>>>> series1
>>>>>
>>>>> 2008-06-02 09:00:00 5007.0
>>>>> 2008-06-02 09:01:00 5010.0
>>>>> 2008-06-02 09:02:00 5014.0
>>>>> 2008-06-02 09:03:00 5012.5
>>>>> 2008-06-02 09:04:00 5013.5
>>>>> 2008-06-02 09:05:00 5009.5
>>>>> 2008-06-02 09:06:00 5007.0
>>>>> 2008-06-02 09:07:00 5006.5
>>>>> 2008-06-02 09:08:00 5008.5
>>>>> 2008-06-02 09:09:00 5004.5
>>>>>
>>>>> Series2
>>>>>
>>>>> 2008-06-02 09:01:00 7115.0
>>>>> 2008-06-02 09:03:00 7117.0
>>>>> 2008-06-02 09:05:00 7111.0
>>>>> 2008-06-02 09:07:00 7107.0
>>>>> 2008-06-02 09:09:00 7102.5
>>>>>
>>>>> Any idea?
>>>>>
>>>>> Thanks in advance
>>>>>
>>>>> _______________________________________________
>>>>> R-SIG-Finance at stat.math.ethz.ch mailing list
>>>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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>>>>>
>>>>>           
>>>> _______________________________________________
>>>> R-SIG-Finance at stat.math.ethz.ch mailing list
>>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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>>>>
>>>>         
>>>
>>> --
>>> Jeffrey Ryan
>>> jeffrey.ryan at insightalgo.com
>>>
>>> ia: insight algorithmics
>>> www.insightalgo.com
>>>       
>>
>> --
>>
>> En toda ocasion, disfruta de la vida
>>
>>     
>
> Best,
> Joshua
> --
> http://www.fosstrading.com
>
>