How to convert dataframe into time series?

Question

I have one csv file in which I have 2 closing prices of stock(on daily basis)

Dates   Bajaj_close Hero_close
3/14/2013   1854.8  1669.1
3/15/2013   1850.3  1684.45
3/18/2013   1812.1  1690.5
3/19/2013   1835.9  1645.6
3/20/2013   1840    1651.15
3/21/2013   1755.3  1623.3
3/22/2013   1820.65 1659.6
3/25/2013   1802.5  1617.7
3/26/2013   1801.25 1571.85
3/28/2013   1799.55 1542

I want to convert above data into time series format. (start date is 3/14/2013 and end date is 3/13/2015) I have tried this but its giving me some weird output

values <- bajaj_hero[, -1]  (excluded first column i.e date in real dataset)
bajaj_hero_timeseries <- ts(values,start=c(2013,1),end=c(2015,3),frequency=365)

Output is:

           Bajaj_close Hero_close
2013.000     1854.80    1669.10
2013.003     1850.30    1684.45
2013.005     1812.10    1690.50
2013.008     1835.90    1645.60
2013.011     1840.00    1651.15
2013.014     1755.30    1623.30
2013.016     1820.65    1659.60
2013.019     1802.50    1617.70
2013.022     1801.25    1571.85

The question [Convert data frame with date column to timeseries](https://stackoverflow.com/questions/8732461/convert-data-frame-with-date-column-to-timeseries) provides more answers based on the xts package. — Paul Rougieux, Mar 06 '20 at 15:33

score 33 · Accepted Answer · answered Mar 15 '15 at 12:23

R has multiple ways of represeting time series. Since you're working with daily prices of stocks, you may wish to consider that financial markets are closed on weekends and business holidays so that trading days and calendar days are not the same. However, you may need to work with your times series in terms of both trading days and calendar days. For example, daily returns are calculated from sequential daily closing prices regardless of whether a weekend intervenes. But you may also want to do calendar-based reporting such as weekly price summaries. For these reasons the xts package, an extension of zoo, is commonly used with financial data in R. An example of how it could be used with your data follows.

Assuming the data shown in your example is in the dataframe df

  library(xts)
  stocks <- xts(df[,-1], order.by=as.Date(df[,1], "%m/%d/%Y"))
#
#  daily returns
#
   returns <- diff(stocks, arithmetic=FALSE ) - 1
#
#  weekly open, high, low, close reports
#
   to.weekly(stocks$Hero_close, name="Hero")

which gives the output

           Hero.Open Hero.High Hero.Low Hero.Close
2013-03-15    1669.1   1684.45   1669.1    1684.45
2013-03-22    1690.5   1690.50   1623.3    1659.60
2013-03-28    1617.7   1617.70   1542.0    1542.00

@ WaltS I didnt get to.weekly(stocks$Hero_close, name="Hero") — Neil, Mar 15 '15 at 15:56
You'll need to use the statement library(xts) for that to work. — WaltS, Mar 15 '15 at 17:35
If the object df is a tibble (it problably is, if you are using readr to import data), you should first convert to a vanilla dataframe, using the function "as,data.frame" — BMLopes, Jan 04 '22 at 13:09
@WaltS Do you know how this process is called in statistics? — federico, Jan 24 '22 at 09:32

G. Grothendieck · Answer 2 · 2018-09-11T12:58:43.930

Input. We will start with the text of the input shown in the question since the question did not provide the csv input:

Lines <- "Dates   Bajaj_close Hero_close
3/14/2013   1854.8  1669.1
3/15/2013   1850.3  1684.45
3/18/2013   1812.1  1690.5
3/19/2013   1835.9  1645.6
3/20/2013   1840    1651.15
3/21/2013   1755.3  1623.3
3/22/2013   1820.65 1659.6
3/25/2013   1802.5  1617.7
3/26/2013   1801.25 1571.85
3/28/2013   1799.55 1542"

zoo. "ts" class series normally do not represent date indexes but we can create a zoo series that does (see zoo package):

library(zoo)
z <- read.zoo(text = Lines, header = TRUE, format = "%m/%d/%Y")

Alternately, if you have already read this into a data frame DF then it could be converted to zoo as shown on the second line below:

DF <- read.table(text = Lines, header = TRUE)
z <- read.zoo(DF, format = "%m/%d/%Y")

In either case above z ia a zoo series with a "Date" class time index. One could also create the zoo series, zz, which uses 1, 2, 3, ... as the time index:

zz <- z
time(zz) <- seq_along(time(zz))

ts. Either of these could be converted to a "ts" class series:

as.ts(z)
as.ts(zz)

The first has a time index which is the number of days since the Epoch (January 1, 1970) and will have NAs for missing days and the second will have 1, 2, 3, ... as the time index and no NAs.

Monthly series. Typically "ts" series are used for monthly, quarterly or yearly series. Thus if we were to aggregate the input into months we could reasonably represent it as a "ts" series:

z.m <- as.zooreg(aggregate(z, as.yearmon, mean), freq = 12)
as.ts(z.m)

score 9 · Answer 3 · answered Aug 12 '19 at 18:44

Late to the party, but the tsbox package is designed to perform conversions like this. To convert your data into a ts-object, you can do:

dta <- data.frame(
  Dates = c("3/14/2013", "3/15/2013", "3/18/2013", "3/19/2013"),
  Bajaj_close = c(1854.8, 1850.3, 1812.1, 1835.9),
  Hero_close = c(1669.1, 1684.45, 1690.5, 1645.6)
)

dta
#>       Dates Bajaj_close Hero_close
#> 1 3/14/2013      1854.8    1669.10
#> 2 3/15/2013      1850.3    1684.45
#> 3 3/18/2013      1812.1    1690.50
#> 4 3/19/2013      1835.9    1645.60

library(tsbox)
ts_ts(ts_long(dta))
#> Time Series:
#> Start = 2013.1971293045 
#> End = 2013.21081883954 
#> Frequency = 365.2425 
#>          Bajaj_close Hero_close
#> 2013.197      1854.8    1669.10
#> 2013.200      1850.3    1684.45
#> 2013.203          NA         NA
#> 2013.205          NA         NA
#> 2013.208      1812.1    1690.50
#> 2013.211      1835.9    1645.60

It automatically parses the dates, detects the frequency and makes the missing values at the weekends explicit. With ts_<class>, you can convert the data to any other time series class.

score 3 · Answer 4 · answered Dec 18 '17 at 13:44

3

With library fpp, you can easily create time series with date format: time_ser=ts(data,frequency=4,start=c(1954,2))

here we start at the 2nd quarter of 1954 with quarter fequency.

answered Dec 18 '17 at 13:44

louisv

69
3

score 2 · Answer 5 · answered Jul 01 '18 at 00:42

See this question: Converting data.frame to xts order.by requires an appropriate time-based object, which suggests looking at argument to order.by,

Currently acceptable classes include: ‘Date’, ‘POSIXct’, ‘timeDate’, as well as ‘yearmon’ and ‘yearqtr’ where the index values remain unique.

And further suggests an explicit conversion using order.by = as.POSIXct,

df$Date <- as.POSIXct(strptime(df$Date,format),tz="UTC")
xts(df[, -1], order.by=as.POSIXct(df$Date))

Where your format is assigned elswhere,

format <- "%m/%d/%Y" #see strptime for details

How to convert dataframe into time series?

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