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

Gabor Grothendieck ggrothendieck at gmail.com
Mon Jun 22 15:09:53 CEST 2009 

Another way is to explicitly do the merge yourself
in which case you can do it all in xts:

lm(x2 ~ x1, merge(x1, x2))

On Mon, Jun 22, 2009 at 8:44 AM, Gabor
Grothendieck<ggrothendieck at gmail.com> wrote:
> The dyn package facilitates regression of time series
> by automatically intersecting the components.  It
> currently does not work with xts but its easy to
> convert those to zoo just prior to performing the
> regression. Just preface lm with dyn$ as shown.
> It also works with glm and other regression functions
> that are sufficiently similar to lm.
>
>> Lines1 <- "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"
>>
>> Lines2 <- "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"
>>
>> library(xts)
>> z1 <- read.zoo(textConnection(Lines1), sep = ",", tz = "")
>> x1 <- as.xts(z1)
>> z2 <- read.zoo(textConnection(Lines2), sep = ",", tz = "")
>> x2 <- as.xts(z2)
>>
>> # convert xts to zoo
>> Z1 <- zoo(coredata(x1), time(x1))
>> Z2 <- zoo(coredata(x2), time(x2))
>> library(dyn)
>> dyn$lm(Z2 ~ Z1)
>
> Call:
> lm(formula = dyn(Z2 ~ Z1))
>
> Coefficients:
> (Intercept)           Z1
>  -2120.912        1.843
>
>
>
> On Mon, Jun 22, 2009 at 8:23 AM, anass<anass.mouhsine at gmail.com> wrote:
>> Hi again,
>>
>> Suppose the problem evolves a little.
>> I would like to know how to perform a regression on two xts objects with
>> different lengths.
>> Let's take the same example:
>> 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
>>
>>
>>>lm(Series2~Series1)
>> Error in model.frame.default(formula = Series2 ~ Series1, drop.unused.levels
>> = TRUE) :
>>  variable lengths differ (found for 'Series1')
>>
>> While performing the regression the usual way, I've got the error described
>> before.
>>
>> Any thoughts?
>>
>> Anass
>>
>>
>>
>> On Thu, Jun 11, 2009 at 5:57 PM, spencerg <spencer.graves at prodsyse.com>wrote:
>>
>>>     One could also smooth the two series first, then compare the smooths.
>>>  This could be used to interpolate missing values to provide a larger sample
>>> size for tradition tools.
>>>
>>>     The "fda" package has a number of tools for doing this kind of thing.
>>>  Learning about this package will soon get easier with the scheduled
>>> appearance in July of Ramsay, Hooker and Graves (2009) Functional Data
>>> Analysis with R and Matlab (Springer).  The "fda" package contains script
>>> files to reproduce all but one of the 78 figures in the book.  The script
>>> files are available now, and can be found as follows:
>>>
>>> > system.file('scripts', package='fda')
>>> [1] "C:/Users/sgraves/R/R-2.9.0/library/fda/scripts"
>>> > dir(system.file('scripts', package='fda'))
>>> <snip> [17] "fdarm-ch01.R"            "fdarm-ch02.R"          [19]
>>> "fdarm-ch03.R"            "fdarm-ch04.R"          [21] "fdarm-ch05.R"
>>>      "fdarm-ch06.R"          [23] "fdarm-ch07.R"            "fdarm-ch08.R"
>>>        [25] "fdarm-ch09.R"            "fdarm-ch10.R"          [27]
>>> "fdarm-ch11.R"            "pda.fd.test.R"
>>>
>>>     Hope this helps.     Spencer
>>>
>>>
>>> Anass Mouhsine wrote:
>>>
>>>> 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
>>>>>>>>> -- Subscriber-posting only.
>>>>>>>>> -- If you want to post, subscribe first.
>>>>>>>>>
>>>>>>>>>
>>>>>>>>>
>>>>>>>> _______________________________________________
>>>>>>>> R-SIG-Finance at stat.math.ethz.ch mailing list
>>>>>>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>>>>>>> -- Subscriber-posting only.
>>>>>>>> -- If you want to post, subscribe first.
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>
>>>>>>> --
>>>>>>> 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
>>>>>
>>>>>
>>>>>
>>>> _______________________________________________
>>>> R-SIG-Finance at stat.math.ethz.ch mailing list
>>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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>>>> -- If you want to post, subscribe first.
>>>>
>>>>
>>>
>>
>>
>> --
>>
>> Every man has his own destiny: the only imperative is to follow it, to
>> accept it, no matter where it leads him.(H.Miller)
>>
>>        [[alternative HTML version deleted]]
>>
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