user1665355 - Developer IT

Substitute values (for specific dates) from a second data frame to the first data frame

- by user1665355

I have two time series data frames: The first one: head(df1) : GMT MSCI ACWI DJGlbl Russell 1000 Russell Dev S&P GSCI Industrial S&P GSCI Precious 1999-03-01 -0.7000000 0.2000000 -0.1000000 -1.5000000 -1.0000000 -0.4000000 1999-03-02 -0.5035247 0.0998004 -0.7007007 -0.2030457 0.4040404 -0.3012048 1999-03-03 -0.2024291 0.2991027 0.0000000 -0.6103764 0.1006036 -0.1007049 1999-03-04 0.7099391 0.2982107 1.5120968 -0.1023541 0.5025126 0.4032258 1999-03-05 2.4169184 0.8919722 2.1847071 2.7663934 -1.2000000 0.0000000 1999-03-08 0.3933137 0.3929273 0.5830904 -0.0997009 -0.2024291 1.1044177 tail(df1) : GMT MSCI ACWI DJGlbl Russell 1000 Russell Dev S&P GSCI Industrial S&P GSCI Precious 2011-12-23 0.68241470 0.84790673 0.9441385 0.6116208 0.5822862 -0.2345300 2011-12-26 -0.05213764 0.00000000 0.0000000 0.0000000 0.0000000 0.0000000 2011-12-27 0.20865936 0.05254861 0.3117693 0.2431611 0.0000000 -0.7233273 2011-12-28 -0.62467465 -1.20798319 -1.1655012 -0.9702850 -2.0414381 -2.4043716 2011-12-29 0.52383447 0.47846890 0.8647799 0.5511329 -0.0933126 -1.2504666 2011-12-30 0.26055237 1.03174603 -0.4676539 1.2180268 1.9613948 1.7388017 The second one: head(df2) : GMT MSCI.ACWI DJGlbl Russell.1000 Russell.Dev S.P.GSCI.Industrial S.P.GSCI.Precious 1999-06-01 0.00000000 0.24438520 0.0000000 0 -0.88465521 0.008522842 1999-07-01 0.12630441 0.06755621 0.0000000 0 0.29394697 0.000000000 1999-08-02 0.07441812 0.18922829 0.0000000 0 0.02697299 -0.107155063 1999-09-01 -0.36952701 0.08684107 0.1117509 0 0.24520976 0.000000000 1999-10-01 0.00000000 0.00000000 0.0000000 0 0.00000000 1.941266205 1999-11-01 0.41879925 0.00000000 0.0000000 0 0.00000000 -0.197897901 tail(df2) : GMT MSCI.ACWI DJGlbl Russell.1000 Russell.Dev S.P.GSCI.Industrial S.P.GSCI.Precious 2011-07-01 0.00000000 0.0000000 0.0000000 0.0000000 0.00000000 -0.1141162 2011-08-01 0.00000000 0.0000000 0.0000000 0.0000000 0.02627347 0.0000000 2011-09-01 -0.02470873 0.2977585 -0.0911891 0.6367605 0.00000000 0.2830977 2011-10-03 0.42495188 0.0000000 0.4200743 -0.4420027 -0.41012646 0.0000000 2011-11-01 0.00000000 0.0000000 0.0000000 -0.6597739 0.00000000 0.0000000 2011-12-01 0.50273034 0.0000000 0.0000000 0.6476393 0.00000000 0.0000000 The first df cointains daily observations. The second df contains only the "first day of each month" forecasted values. I would like to substitute the values from the second df into the first one. In other words, the "first day of each month" values in the first df will be substituted for the "first day of each month" values from the second df. I tried to write an lapply loop that substitutes the values and was only trying to use match function. But I failed. I could not find the similar question at StackOverflow either... Greatful for any suggestions!

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Trouble with applying a nested loop on a list

- by user1665355

I have a list consisting of 3 elements: datalist=list(a=datanew1,b=datanew2,c=datanew3) datalist$a : Inv_ret Firm size leverage Risk Liquidity Equity 17 0.04555968 17.34834 0.1323199 0.011292273 0.02471489 0 48 0.01405835 15.86315 0.6931730 0.002491093 0.12054914 0 109 0.04556252 16.91602 0.1714068 0.006235836 0.01194579 0 159 0.04753472 14.77039 0.3885720 0.007126830 0.06373028 0 301 0.03941040 16.94377 0.1805346 0.005450653 0.01723319 0 datalist$b : Inv_ret Firm size leverage Risk Liquidity Equity 31 0.04020832 18.13300 0.09326265 0.015235240 0.01579559 0.005025379 62 0.04439078 17.84086 0.11016402 0.005486982 0.01266566 0.006559096 123 0.04543250 18.00517 0.12215307 0.011154742 0.01531451 0.002282790 173 0.03960613 16.45457 0.10828643 0.011506857 0.02385191 0.009003780 180 0.03139643 17.57671 0.40063094 0.003447233 0.04530395 0.000000000 datalist$c : Inv_ret Firm size leverage Risk Liquidity Equity 92 0.03081029 19.25359 0.10513159 0.01635201 0.025760806 0.000119744 153 0.03280746 19.90229 0.11731517 0.01443786 0.006769735 0.011999005 210 0.04655847 20.12543 0.11622403 0.01418010 0.003125632 0.003802365 250 0.03301018 20.67197 0.13208234 0.01262499 0.009418828 0.021400052 282 0.04355975 20.03012 0.08588316 0.01918129 0.004213846 0.023657440 I am trying to create a cor.test on the datalist above : Cor.tests=sapply(datalist,function(x){ for(h in 1:length(names(x))){ for(i in 1:length(names(x$h[i]))){ for(j in 1:length(names(x$h[j]))){ cor.test(x$h[,i],x$h[,j])$p.value }}}}) But I get an error : Error in cor.test.default(x$h[, i], x$h[, j]) : 'x' must be a numeric vector Any suggestions about what I am doing wrong? P.S. If I simply have one dataframe, datanew1 : Inv_ret Firm size leverage Risk Liquidity Equity 17 0.04555968 17.34834 0.1323199 0.011292273 0.02471489 0 48 0.01405835 15.86315 0.6931730 0.002491093 0.12054914 0 109 0.04556252 16.91602 0.1714068 0.006235836 0.01194579 0 159 0.04753472 14.77039 0.3885720 0.007126830 0.06373028 0 301 0.03941040 16.94377 0.1805346 0.005450653 0.01723319 0 I use this loop : results=matrix(NA,nrow=6,ncol=6) for(i in 1:length(names(datanew1))){ for(j in 1:length(names(datanew1))){ results[i,j]<-cor.test(datanew1[,i],datanew1[,j])$p.value }} And the output is: results : [,1] [,2] [,3] [,4] [,5] [,6] [1,] 0.000000e+00 7.085663e-09 3.128975e-10 3.018239e-02 4.806400e-10 0.475139526 [2,] 7.085663e-09 0.000000e+00 2.141581e-21 0.000000e+00 2.247825e-20 0.454032499 [3,] 3.128975e-10 2.141581e-21 0.000000e+00 2.485924e-25 2.220446e-16 0.108643838 [4,] 3.018239e-02 0.000000e+00 2.485924e-25 0.000000e+00 5.870007e-15 0.006783324 [5,] 4.806400e-10 2.247825e-20 2.220446e-16 5.870007e-15 0.000000e+00 0.558827862 [6,] 4.751395e-01 4.540325e-01 1.086438e-01 6.783324e-03 5.588279e-01 0.000000000 Which is exactly what I want. But I want to get 3 matrices, one for each element of the datalist above.

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Compute rolling window covariance matrix

- by user1665355

I am trying to compute a rolling window (shifting by 1 day) covariance matrix for a number of assets. Say my df looks like this: df <- data.frame(x = 0:4, y = 5:9,z=1:5,u=4:8) How would a possible for loop look like if I want to calculate a covariance matrix on a rolling basis by shifting the rolling window by 1 day? Or should I use some apply family function? What time series class would be preferrable if I want to create a time series object for the loop above? I simply can't get it... Best Regards

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