Locating peaks in zoo objects in one go
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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