Dear users:
Sorry for receiving this
mail twice
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
imported as big 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 strangely, 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 traditional time series object shows. 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 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
to do want I want to do 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
|
|