[R-SIG-Finance] Aligning time series

[David Reiner]

Definitely use xts !

For Question 2, I would merge all, leaving NA's for missing data.
Then what you do next depends on what you are trying to accomplish,
but sometimes LOCF can be appropriate,
for example if these are trades for less liquid instruments.
However, you may need to do some hard thinking about which of the many ways of dealing with missing data would be best for your specific task.

David L. Reiner, Ph.D.
Head Quant
XR Trading LLC

PS: better to post in plain text rather than html.

-----Original Message-----
From: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Chirag Anand
Sent: Wednesday, April 16, 2014 1:13 AM
To: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] Aligning time series

Hi Mikhail,

As Ilya said, xts takes care of it. You can use "merge.zoo" (if using
zoo) or "merge.xts" to merge two series. The missing timestamps are
taken care of by the "all" argument. You can use it to specify whether
to take missing timestamps from both the series, an individual series,
or not at all. The details are available in the respective man pages
of the functions.

On 16 April 2014 00:39, Ilya Kipnis <ilya.kipnis at gmail.com> wrote:
> Mikhail, are you using the xts package? Because when you cbind two xts time
> series, it takes care of alignment for you.
>
> -Ilya
>
>
> On Tue, Apr 15, 2014 at 12:07 PM, Mikhail Beketov <
> mikhailbeketov at googlemail.com> wrote:
>
>> Hello,
>> I have to analyze a large data-set of 1-min stock prices. The problem is
>> that the time-series for different stocks in my data-set have different
>> length, as some time points are missing in one series but present in
>> another etc. So, I have to create a table with aligned time series (all
>> dates/times should correspond to all the stocks). My questions are:
>> 1) Is there some efficient way to do it? Is there anything that is already
>> programmed.
>> 2) Does it make sense to align all of them to shortest time series (so,
>> delete the time points that are not given for all stocks)? Or, is better to
>> copy the preceding price values for the absent time points, and therefore
>> to align all of them to the longest time series?
>> Thanks,
>> Michael
>>
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>>
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>         [[alternative HTML version deleted]]
>
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--
Chirag Anand
http://atvariance.in/chiraganand

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