I have 1 min prices for each day begining 09:30 to 4:00pm and i need to calculate daily log return i.e. log(close price on the day / opening price on the day)? How to do this using R?
my data looks like
2014-02-03 09:30:00 10.450000
2014-02-03 09:31:00 10.450000
2014-02-03 09:32:00 10.326600
2014-02-03 09:33:00 10.290000
.
.
2014-02-03 04:00:00 10.326500
...
2014-07-31 09:30:00 15.8500
2014-07-31 09:31:00 15.8600
2014-07-31 09:32:00 15.8600
.
2014-07-31 03:50:00 15.9101
2014-07-31 04:00:00 15.9300
You can use apply.daily(). Here's an example using apply.monthly() on daily data. The concept is the same.
data(sample_matrix)
x <- as.xts(sample_matrix[,"Close"])
apply.monthly(x, function(p) log(last(p)/as.numeric(first(p))))
[,1]
2007-01-31 0.002152642
2007-02-28 0.008169076
2007-03-31 -0.032065389
2007-04-30 0.009559690
2007-05-31 -0.035670840
2007-06-30 0.002430626
You need the as.numeric() call because arithmetic operations on xts/zoo objects always align by the index first. as.numeric() removes the index.