Indexing time series objects

2 messages · Luis Torgo, Dirk Eddelbuettel

Fri, Jun 28, 2002 2:18 AM #

Hi. I have a question concerning the easiest way to index a time series 
object holding some stock quotes. An example:

My question is:- Suppose I want to know the stock quotes on 2000-01-03. Which 
is the easiest way to index the "ibm" time series object to get them?
I got what I wanted using:

window(ibm,start=julian(as.POSIXct("2000-01-03")),end=julian(as.POSIXct("2000-01-03")))

But I'm sure there is a much better way to get it!

In summary, my problem is to find the easiest way to convert from my 
"natural" way of thinking on the quotes (which is date-based) into the 
indexing schema of time series objects, which by looking at the code of 
"get.hist.quote" is based on the conversion into the number of days (using 
"julian") from an origin.

Thank you for any help.
Luis

Luis Torgo
    FEP/LIACC, University of Porto   Phone : (+351) 22 607 88 30
    Machine Learning Group           Fax   : (+351) 22 600 36 54
    R. Campo Alegre, 823             email : ltorgo at liacc.up.pt
    4150 PORTO   -  PORTUGAL         WWW   : http://www.liacc.up.pt/~ltorgo
-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !)  To: r-help-request at stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._

Dirk Eddelbuettel

Fri, Jun 28, 2002 4:46 AM #

On Fri, Jun 28, 2002 at 10:18:42AM +0100, Luis Torgo wrote:

[...]

[...]

I don't think there is -- ts() cannot deal that well with "business-daily"
data. It is intended for monthly or quarterly data with regular increments,
or frequency.  Dealing with daily data with weekends and holidays is much
harder. Adrian's solution of converting to Julian and padding with NaN for
non-business days is probably as good as it gets. 

Dirk

Good judgement comes from experience; experience comes from bad judgement. 
							    -- Fred Brooks
-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !)  To: r-help-request at stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._