Logarithmic returns for financial time series
log_returns.RdComputes the logarithmic return \(\log(x_t / x_{t-1})\) for selected numeric columns. Used extensively in financial time series analysis. Group-wise computation is supported.
Details
The function only computes a return when both the current and previous values are positive. Otherwise, the result is NA.
Value
A vector or data frame with logarithmic returns. The first observation of each group (or the vector) is NA.
Examples
log_returns(data[1:200, c(1, 4, 17:19)], cols = 3:5)
#> date monthyear 3.98 4.47 5.01
#> 1 2019-12-31 16:00:00 January 2020 NA NA NA
#> 2 2019-12-31 16:10:00 January 2020 NA NA NA
#> 3 2019-12-31 16:20:00 January 2020 NA NA NA
#> 4 2019-12-31 16:30:00 January 2020 NA NA NA
#> 5 2019-12-31 16:40:00 January 2020 NA -2.388079805 0.588012552
#> 6 2019-12-31 16:50:00 January 2020 NA NA NA
#> 7 2019-12-31 17:00:00 January 2020 0.637564503 NA NA
#> 8 2019-12-31 17:10:00 January 2020 NA NA NA
#> 9 2019-12-31 17:20:00 January 2020 NA NA NA
#> 10 2019-12-31 17:30:00 January 2020 -0.005230755 NA NA
#> 11 2019-12-31 17:40:00 January 2020 NA NA NA
#> 12 2019-12-31 17:50:00 January 2020 NA NA NA
#> 13 2019-12-31 18:00:00 January 2020 NA NA NA
#> 14 2019-12-31 18:10:00 January 2020 NA NA NA
#> 15 2019-12-31 18:20:00 January 2020 NA NA NA
#> 16 2019-12-31 18:30:00 January 2020 0.759786107 NA NA
#> 17 2019-12-31 18:40:00 January 2020 NA NA NA
#> 18 2019-12-31 18:50:00 January 2020 NA NA NA
#> 19 2019-12-31 19:00:00 January 2020 NA NA NA
#> 20 2019-12-31 19:10:00 January 2020 NA NA NA
#> 21 2019-12-31 19:20:00 January 2020 -0.779145014 NA NA
#> 22 2019-12-31 19:40:00 January 2020 NA NA NA
#> 23 2019-12-31 19:50:00 January 2020 NA NA NA
#> 24 2019-12-31 20:00:00 January 2020 NA NA NA
#> 25 2019-12-31 20:10:00 January 2020 NA NA NA
#> 26 2019-12-31 20:20:00 January 2020 NA NA NA
#> 27 2019-12-31 20:30:00 January 2020 0.002327465 0.002326903 0.002329838
#> 28 2019-12-31 20:40:00 January 2020 NA NA NA
#> 29 2019-12-31 20:50:00 January 2020 NA NA NA
#> 30 2019-12-31 21:00:00 January 2020 NA NA NA
#> 31 2019-12-31 21:10:00 January 2020 NA NA NA
#> 32 2019-12-31 21:20:00 January 2020 -0.886449832 0.046764404 0.989785401
#> 33 2019-12-31 21:30:00 January 2020 0.887987725 -0.042011075 -0.985031753
#> 34 2019-12-31 21:40:00 January 2020 NA NA NA
#> 35 2019-12-31 21:50:00 January 2020 NA NA NA
#> 36 2019-12-31 22:00:00 January 2020 NA NA NA
#> 37 2019-12-31 22:10:00 January 2020 NA NA NA
#> 38 2019-12-31 22:20:00 January 2020 NA NA NA
#> 39 2019-12-31 22:30:00 January 2020 0.308055217 NA NA
#> 40 2019-12-31 22:40:00 January 2020 0.299603446 NA NA
#> 41 2019-12-31 22:50:00 January 2020 NA NA NA
#> 42 2019-12-31 23:00:00 January 2020 NA NA NA
#> 43 2019-12-31 23:10:00 January 2020 NA NA NA
#> 44 2019-12-31 23:20:00 January 2020 NA NA NA
#> 45 2019-12-31 23:30:00 January 2020 NA NA NA
#> 46 2019-12-31 23:40:00 January 2020 NA NA NA
#> 47 2019-12-31 23:50:00 January 2020 NA NA NA
#> 48 2020-01-01 00:00:00 January 2020 NA NA NA
#> 49 2020-01-01 00:10:00 January 2020 NA NA NA
#> 50 2020-01-01 00:20:00 January 2020 NA NA NA
#> 51 2020-01-01 00:30:00 January 2020 NA NA NA
#> 52 2020-01-01 00:40:00 January 2020 NA NA NA
#> 53 2020-01-01 00:50:00 January 2020 NA NA NA
#> 54 2020-01-01 01:00:00 January 2020 NA NA NA
#> 55 2020-01-01 01:10:00 January 2020 NA NA NA
#> 56 2020-01-01 01:20:00 January 2020 0.437361934 NA NA
#> 57 2020-01-01 01:30:00 January 2020 NA -2.445658188 0.530435874
#> 58 2020-01-01 01:40:00 January 2020 NA 0.054188298 0.054181439
#> 59 2020-01-01 01:50:00 January 2020 NA NA NA
#> 60 2020-01-01 02:20:00 January 2020 NA NA NA
#> 61 2020-01-01 02:30:00 January 2020 NA NA NA
#> 62 2020-01-01 02:40:00 January 2020 NA NA NA
#> 63 2020-01-01 02:50:00 January 2020 NA NA NA
#> 64 2020-01-01 03:00:00 January 2020 NA NA NA
#> 65 2020-01-01 03:10:00 January 2020 NA NA NA
#> 66 2020-01-01 03:20:00 January 2020 NA NA NA
#> 67 2020-01-01 03:30:00 January 2020 NA NA NA
#> 68 2020-01-01 03:40:00 January 2020 NA NA NA
#> 69 2020-01-01 03:50:00 January 2020 NA NA NA
#> 70 2020-01-01 04:00:00 January 2020 NA NA NA
#> 71 2020-01-01 04:10:00 January 2020 NA NA NA
#> 72 2020-01-01 04:20:00 January 2020 NA NA NA
#> 73 2020-01-01 04:30:00 January 2020 NA NA NA
#> 74 2020-01-01 04:40:00 January 2020 NA NA NA
#> 75 2020-01-01 04:50:00 January 2020 NA NA NA
#> 76 2020-01-01 05:00:00 January 2020 NA NA NA
#> 77 2020-01-01 05:40:00 January 2020 NA NA NA
#> 78 2020-01-01 05:50:00 January 2020 NA NA NA
#> 79 2020-01-01 06:00:00 January 2020 NA NA NA
#> 80 2020-01-01 06:10:00 January 2020 NA NA NA
#> 81 2020-01-01 06:20:00 January 2020 NA NA NA
#> 82 2020-01-01 06:30:00 January 2020 NA NA NA
#> 83 2020-01-01 06:40:00 January 2020 NA NA NA
#> 84 2020-01-01 06:50:00 January 2020 NA -0.417733802 -0.417732758
#> 85 2020-01-01 07:00:00 January 2020 NA NA NA
#> 86 2020-01-01 07:10:00 January 2020 NA NA NA
#> 87 2020-01-01 07:20:00 January 2020 NA NA NA
#> 88 2020-01-01 07:30:00 January 2020 NA NA NA
#> 89 2020-01-01 07:40:00 January 2020 NA 2.335848872 -0.640241059
#> 90 2020-01-01 07:50:00 January 2020 NA NA NA
#> 91 2020-01-01 08:00:00 January 2020 NA NA NA
#> 92 2020-01-01 08:10:00 January 2020 NA NA NA
#> 93 2020-01-01 08:20:00 January 2020 NA NA NA
#> 94 2020-01-01 08:30:00 January 2020 NA NA NA
#> 95 2020-01-01 08:40:00 January 2020 NA NA NA
#> 96 2020-01-01 08:50:00 January 2020 NA NA NA
#> 97 2020-01-01 09:00:00 January 2020 NA NA NA
#> 98 2020-01-01 09:10:00 January 2020 NA NA NA
#> 99 2020-01-01 09:20:00 January 2020 NA NA NA
#> 100 2020-01-01 09:30:00 January 2020 NA NA NA
#> 101 2020-01-01 09:40:00 January 2020 NA NA NA
#> 102 2020-01-01 09:50:00 January 2020 NA NA NA
#> 103 2020-01-01 10:00:00 January 2020 NA NA NA
#> 104 2020-01-01 10:10:00 January 2020 NA NA NA
#> 105 2020-01-01 10:20:00 January 2020 NA NA NA
#> 106 2020-01-01 10:30:00 January 2020 NA NA NA
#> 107 2020-01-01 10:40:00 January 2020 NA NA NA
#> 108 2020-01-01 10:50:00 January 2020 NA NA NA
#> 109 2020-01-01 11:00:00 January 2020 NA NA NA
#> 110 2020-01-01 11:10:00 January 2020 NA NA NA
#> 111 2020-01-01 11:20:00 January 2020 NA NA NA
#> 112 2020-01-01 11:30:00 January 2020 NA NA NA
#> 113 2020-01-01 11:40:00 January 2020 NA NA NA
#> 114 2020-01-01 11:50:00 January 2020 NA NA NA
#> 115 2020-01-01 12:00:00 January 2020 NA NA NA
#> 116 2020-01-01 12:10:00 January 2020 NA NA NA
#> 117 2020-01-01 12:20:00 January 2020 0.059694049 0.059693293 0.059694047
#> 118 2020-01-01 12:30:00 January 2020 NA NA NA
#> 119 2020-01-01 12:40:00 January 2020 NA NA NA
#> 120 2020-01-01 12:50:00 January 2020 NA NA NA
#> 121 2020-01-01 13:00:00 January 2020 NA NA NA
#> 122 2020-01-01 13:10:00 January 2020 NA NA NA
#> 123 2020-01-01 13:20:00 January 2020 NA NA NA
#> 124 2020-01-01 13:30:00 January 2020 NA NA NA
#> 125 2020-01-01 13:40:00 January 2020 NA NA NA
#> 126 2020-01-01 13:50:00 January 2020 NA NA NA
#> 127 2020-01-01 14:00:00 January 2020 NA NA NA
#> 128 2020-01-01 14:10:00 January 2020 NA NA NA
#> 129 2020-01-01 14:20:00 January 2020 NA NA NA
#> 130 2020-01-01 14:30:00 January 2020 NA NA NA
#> 131 2020-01-01 14:40:00 January 2020 NA NA NA
#> 132 2020-01-01 14:50:00 January 2020 NA NA NA
#> 133 2020-01-01 15:00:00 January 2020 NA NA NA
#> 134 2020-01-01 15:10:00 January 2020 NA NA NA
#> 135 2020-01-01 15:20:00 January 2020 NA NA NA
#> 136 2020-01-01 15:30:00 January 2020 NA NA NA
#> 137 2020-01-01 15:40:00 January 2020 NA NA NA
#> 138 2020-01-01 15:50:00 January 2020 NA NA NA
#> 139 2020-01-01 16:00:00 January 2020 NA NA NA
#> 140 2020-01-01 16:10:00 January 2020 NA NA NA
#> 141 2020-01-01 16:20:00 January 2020 NA NA NA
#> 142 2020-01-01 16:30:00 January 2020 NA NA NA
#> 143 2020-01-01 16:40:00 January 2020 NA NA NA
#> 144 2020-01-01 16:50:00 January 2020 NA NA NA
#> 145 2020-01-01 17:00:00 January 2020 NA NA NA
#> 146 2020-01-01 17:10:00 January 2020 NA NA NA
#> 147 2020-01-01 17:20:00 January 2020 NA NA NA
#> 148 2020-01-01 17:30:00 January 2020 NA NA NA
#> 149 2020-01-01 17:40:00 January 2020 NA NA NA
#> 150 2020-01-01 17:50:00 January 2020 NA NA NA
#> 151 2020-01-01 18:00:00 January 2020 NA NA NA
#> 152 2020-01-01 18:10:00 January 2020 NA NA NA
#> 153 2020-01-01 18:20:00 January 2020 NA NA NA
#> 154 2020-01-01 18:30:00 January 2020 NA NA NA
#> 155 2020-01-01 18:40:00 January 2020 NA NA NA
#> 156 2020-01-01 18:50:00 January 2020 NA NA NA
#> 157 2020-01-01 19:00:00 January 2020 NA NA NA
#> 158 2020-01-01 19:10:00 January 2020 NA NA NA
#> 159 2020-01-01 19:20:00 January 2020 NA NA NA
#> 160 2020-01-01 19:30:00 January 2020 NA NA NA
#> 161 2020-01-01 19:40:00 January 2020 NA NA NA
#> 162 2020-01-01 19:50:00 January 2020 NA NA NA
#> 163 2020-01-01 20:00:00 January 2020 NA NA NA
#> 164 2020-01-01 20:10:00 January 2020 NA NA NA
#> 165 2020-01-01 20:20:00 January 2020 NA NA NA
#> 166 2020-01-01 20:30:00 January 2020 NA NA NA
#> 167 2020-01-01 20:40:00 January 2020 NA NA NA
#> 168 2020-01-01 20:50:00 January 2020 NA NA NA
#> 169 2020-01-01 21:00:00 January 2020 NA NA NA
#> 170 2020-01-01 21:10:00 January 2020 NA NA NA
#> 171 2020-01-01 21:20:00 January 2020 NA NA NA
#> 172 2020-01-01 21:30:00 January 2020 NA NA NA
#> 173 2020-01-01 21:40:00 January 2020 NA NA NA
#> 174 2020-01-01 21:50:00 January 2020 NA NA NA
#> 175 2020-01-01 22:00:00 January 2020 NA NA NA
#> 176 2020-01-01 22:10:00 January 2020 NA NA NA
#> 177 2020-01-01 22:20:00 January 2020 NA NA NA
#> 178 2020-01-01 22:30:00 January 2020 NA NA NA
#> 179 2020-01-01 22:40:00 January 2020 NA NA NA
#> 180 2020-01-01 22:50:00 January 2020 NA NA NA
#> 181 2020-01-01 23:00:00 January 2020 NA NA NA
#> 182 2020-01-01 23:10:00 January 2020 NA NA NA
#> 183 2020-01-01 23:20:00 January 2020 NA NA NA
#> 184 2020-01-01 23:30:00 January 2020 NA NA NA
#> 185 2020-01-01 23:40:00 January 2020 NA NA NA
#> 186 2020-01-01 23:50:00 January 2020 NA NA NA
#> 187 2020-01-02 00:00:00 January 2020 NA NA NA
#> 188 2020-01-02 00:10:00 January 2020 NA NA NA
#> 189 2020-01-02 00:20:00 January 2020 NA NA NA
#> 190 2020-01-02 00:30:00 January 2020 NA NA NA
#> 191 2020-01-02 00:40:00 January 2020 NA NA NA
#> 192 2020-01-02 00:50:00 January 2020 NA NA NA
#> 193 2020-01-02 01:00:00 January 2020 0.074583651 0.074584635 0.074584628
#> 194 2020-01-02 01:10:00 January 2020 NA NA NA
#> 195 2020-01-02 01:20:00 January 2020 NA NA NA
#> 196 2020-01-02 01:30:00 January 2020 NA NA NA
#> 197 2020-01-02 01:40:00 January 2020 NA NA NA
#> 198 2020-01-02 01:50:00 January 2020 NA NA NA
#> 199 2020-01-02 02:00:00 January 2020 NA NA NA
#> 200 2020-01-02 02:10:00 January 2020 NA NA NA