Dear users:
I have two questions regarding manipulation of the data obtained from CRSP
and converted to big data time series object as I am new to CRSP data and
big data object.
My data object US is:
PERMNO DATE COMNAM PRC VOL
10,001.00 19,950,103.00 ENERGY WEST INC 8.38 372
10,001.00 19,950,104.00 ENERGY WEST INC 8 8,275.00
10,002.00 19,950,103.00 SOUTH ALABAMA BANCORPORATION INC
13.32 0
10,002.00 19,950,104.00 SOUTH ALABAMA BANCORPORATION INC
14.12 0
10,002.00 19,950,105.00 SOUTH ALABAMA BANCORPORATION INC
13.17 0
10,003.00 19,950,103.00 GREAT COUNTRY BK ASONIA CT 2.32 0
10,003.00 19,950,104.00 GREAT COUNTRY BK ASONIA CT 2.12 0
10,003.00 19,950,105.00 GREAT COUNTRY BK ASONIA CT 2.48
5,000.00
First question is that I use
y=bdTimeSeries(US[,c(1,3,4,5)],positions.=US[,2]), I try to convert this
object into big data time series data set. But strangeley, I can not find
object y in my object explorer window, but print(y) works and it shows that
y is a time series object as tradintional time series object. But why I can
not find this object in object explorer window?
The second question is that, I want have two matrix, price and trading
volume:
Price:
PERMNO 10,001.00 10,002.00 10,003.00
19,950,103.00 8.38 13.32 2.32
19,950,104.00 8 14.12 2.12
19,950,105.00 NA 13.17 2.48
Trading volume:
PERMNO 10,001.00 10,002.00 10,003.00
19,950,103.00 372 0 0
19,950,104.00 8,275.00 0 0
19,950,105.00 NA 0 5,000.00
The purpose to have two matrix is to want to get a new return matrix by
using the price matrix. Then divide this new return matrix by the trading
volume matrix by matching the time period. I am not sure whether it is right
to split CRSP dataset into two matrix and whether it will save more time.
But this is the only way I figure out to get what I want.
Any suggestions or new ways to deal with this are appreciated.
Many thanks,
Sichong
SPlus 7.0 & FinMetrics 2.0 User
Windows XP
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