Question

我在R中尝试根据波动率指出变量值在我的数据框的每个月的哪个五分位数。对于每一个股票，我想知道每个股票是否处于最不稳定的五分之一，如果它在其他股票中。

到目前为止，我已经提出了以下功能（见下文）。不幸的是，该功能仅在某些情况下有效，并且通常会出现以下错误：

Error in cut.default(df$VOLATILITY, unique(breaks), label = FALSE, na.rm =TRUE): 
  invalid number of intervals

您能否就如何改进此代码给我一些建议，以使其正常运行。

这是相对紧迫的。非常感谢！

quintilesVolByMonth <- function(x){
  months<-as.vector(unique(x$DATE))  
  dfx<-data.frame()
  for(n in seq(1,length(months))){
    num<-5
    print(paste("Appending month",months[n],sep=""))
    df<-subset(x,DATE==months[n])
    breaks<-quantile(df$VOLATILITY,probs=seq(0,1, 1/num),na.rm=TRUE)
    df$volquintile <- cut(df$VOLATILITY,unique(breaks), 
                       label=FALSE, na.rm=TRUE)
    dfx<-rbind(dfx,df)
  }
  return(dfx)
}
Frame.Quintile <- quintilesVolByMonth(x)

数据示例：最后一栏是我想要的。这里的数据只是一个例子而不是实际结果。

> DATE <- c("01/10/2011","01/10/2012","01/10/2010","01/08/2010","01/10/2011","01/12/2011","01/09/2011","01/10/2011","01/09/2012","01/08/2012","01/02/2010","01/01/2011","01/09/2010","01/06/2010","01/07/2010","01/01/2012","01/01/2012","01/11/2011","01/09/2011","01/10/2011")
> NAME<-c("HOEK'S MACHINE DEAD - DELIST.","WORLD SCOPE (CADB TEST STOCK)","BRILL (KON.)",   "BBL DEAD - 30/06/465", "GENK LOGISTICS","GROENIJK.YLCBN. DEAD - DELIST.31/05/479", "NOORD-EUR.HOUTH.","PALTHE DEAD - 4/2/475","GENERALE BANQUE DEAD - DEL. 30/12/490","STORK DEAD - TAKEOVER 905099","LOUVAIN-LA-NEUVE","VENTOS DEAD - 06/06/384","BRAINE-LE-COMTE SUSP 14/02/460","VILENZO DEAD - 25/11/370","ECONOSTO KON. DEAD - 07/07/374","ELECTRORAIL DEAD - DELIST 21/02/387","BLYSTEIN FL.1384","OBOURG (CIMENTS)","BRUGEFI DEAD - 31/07/475","GIB NEW")
> VOLATILITY<-c(0.3383, 0.084,  0.046,  0.0945, 0.0465, 0.2008, 0.1361, 0.2183, 0.1032, 0.1083, 0.0494, 0.0538, 0.0357, 0.037,  0.0386, 0.073,  0.073,  0.0393, 0.0687, 0.3308)
> VOLQUINTILE<-c(4,1,1,2,2,3,2,3,4,2,3,2,4,1,2,1,1,2,3,4)
>   
> x<-data.frame(DATE,NAME,VOLATILITY, VOLQUINTILE)
> x
         DATE                                    NAME VOLATILITY VOLQUINTILE
1  01/10/2011           HOEK'S MACHINE DEAD - DELIST.     0.3383           4
2  01/10/2012           WORLD SCOPE (CADB TEST STOCK)     0.0840           1
3  01/10/2010                            BRILL (KON.)     0.0460           1
4  01/08/2010                    BBL DEAD - 30/06/465     0.0945           2
5  01/10/2011                          GENK LOGISTICS     0.0465           2
6  01/12/2011 GROENIJK.YLCBN. DEAD - DELIST.31/05/479     0.2008           3
7  01/09/2011                        NOORD-EUR.HOUTH.     0.1361           2
8  01/10/2011                   PALTHE DEAD - 4/2/475     0.2183           3
9  01/09/2012   GENERALE BANQUE DEAD - DEL. 30/12/490     0.1032           4
10 01/08/2012            STORK DEAD - TAKEOVER 905099     0.1083           2
11 01/02/2010                        LOUVAIN-LA-NEUVE     0.0494           3
12 01/01/2011                 VENTOS DEAD - 06/06/384     0.0538           2
13 01/09/2010          BRAINE-LE-COMTE SUSP 14/02/460     0.0357           4
14 01/06/2010                VILENZO DEAD - 25/11/370     0.0370           1
15 01/07/2010          ECONOSTO KON. DEAD - 07/07/374     0.0386           2
16 01/01/2012     ELECTRORAIL DEAD - DELIST 21/02/387     0.0730           1
17 01/01/2012                        BLYSTEIN FL.1384     0.0730           1
18 01/11/2011                        OBOURG (CIMENTS)     0.0393           2
19 01/09/2011                BRUGEFI DEAD - 31/07/475     0.0687           3
20 01/10/2011                                 GIB NEW     0.3308           4

Answer 1

这对你有用吗？

library(plyr)
vol1<-ddply(mydata,.(DATE), transform, max.name=NAME[which.max(quantile(VOLATILITY))])
             DATE                                    NAME VOLATILITY                                max.name
    1  01/01/2011                 VENTOS DEAD - 06/06/384     0.0538                 VENTOS DEAD - 06/06/384
    2  01/01/2012     ELECTRORAIL DEAD - DELIST 21/02/387     0.0730     ELECTRORAIL DEAD - DELIST 21/02/387
    3  01/01/2012                        BLYSTEIN FL.1384     0.0730     ELECTRORAIL DEAD - DELIST 21/02/387
    4  01/02/2010                        LOUVAIN-LA-NEUVE     0.0494                        LOUVAIN-LA-NEUVE
    5  01/06/2010                VILENZO DEAD - 25/11/370     0.0370                VILENZO DEAD - 25/11/370
    6  01/07/2010          ECONOSTO KON. DEAD - 07/07/374     0.0386          ECONOSTO KON. DEAD - 07/07/374
    7  01/08/2010                    BBL DEAD - 30/06/465     0.0945                    BBL DEAD - 30/06/465
    8  01/08/2012            STORK DEAD - TAKEOVER 905099     0.1083            STORK DEAD - TAKEOVER 905099
    9  01/09/2010          BRAINE-LE-COMTE SUSP 14/02/460     0.0357          BRAINE-LE-COMTE SUSP 14/02/460
    10 01/09/2011                        NOORD-EUR.HOUTH.     0.1361                                    <NA>
    11 01/09/2011                BRUGEFI DEAD - 31/07/475     0.0687                                    <NA>
    12 01/09/2012   GENERALE BANQUE DEAD - DEL. 30/12/490     0.1032   GENERALE BANQUE DEAD - DEL. 30/12/490
    13 01/10/2010                            BRILL (KON.)     0.0460                            BRILL (KON.)
    14 01/10/2011           HOEK'S MACHINE DEAD - DELIST.     0.3383                                    <NA>
    15 01/10/2011                          GENK LOGISTICS     0.0465                                    <NA>
    16 01/10/2011                   PALTHE DEAD - 4/2/475     0.2183                                    <NA>
    17 01/10/2011                                 GIB NEW     0.3308                                    <NA>
    18 01/10/2012           WORLD SCOPE (CADB TEST STOCK)     0.0840           WORLD SCOPE (CADB TEST STOCK)
    19 01/11/2011                        OBOURG (CIMENTS)     0.0393                        OBOURG (CIMENTS)
    20 01/12/2011 GROENIJK.YLCBN. DEAD - DELIST.31/05/479     0.2008 GROENIJK.YLCBN. DEAD - DELIST.31/05/479

更新了解决方案：

library(plyr)    


   vol2<-ddply(x,.(DATE), transform,quantile=ifelse(VOLATILITY<quantile(VOLATILITY,p=0.25),1,
ifelse(((VOLATILITY>quantile(VOLATILITY,p=0.25))& (VOLATILITY<quantile(VOLATILITY,p=0.5))),2,ifelse(((VOLATILITY>quantile(VOLATILITY,p=0.5))& VOLATILITY<quantile(VOLATILITY,p=0.75)),3,4))))

       DATE                                    NAME VOLATILITY   quantile
1  01/01/2011                 VENTOS DEAD - 06/06/384     0.0538        4
2  01/01/2012     ELECTRORAIL DEAD - DELIST 21/02/387     0.0730        4
3  01/01/2012                        BLYSTEIN FL.1384     0.0730        4
4  01/02/2010                        LOUVAIN-LA-NEUVE     0.0494        4
5  01/06/2010                VILENZO DEAD - 25/11/370     0.0370        4
6  01/07/2010          ECONOSTO KON. DEAD - 07/07/374     0.0386        4
7  01/08/2010                    BBL DEAD - 30/06/465     0.0945        4
8  01/08/2012            STORK DEAD - TAKEOVER 905099     0.1083        4
9  01/09/2010          BRAINE-LE-COMTE SUSP 14/02/460     0.0357        4
10 01/09/2011                        NOORD-EUR.HOUTH.     0.1361        4
11 01/09/2011                BRUGEFI DEAD - 31/07/475     0.0687        1
12 01/09/2012   GENERALE BANQUE DEAD - DEL. 30/12/490     0.1032        4
13 01/10/2010                            BRILL (KON.)     0.0460        4
14 01/10/2011           HOEK'S MACHINE DEAD - DELIST.     0.3383        4
15 01/10/2011                          GENK LOGISTICS     0.0465        1
16 01/10/2011                   PALTHE DEAD - 4/2/475     0.2183        2
17 01/10/2011                                 GIB NEW     0.3308        3
18 01/10/2012           WORLD SCOPE (CADB TEST STOCK)     0.0840        4
19 01/11/2011                        OBOURG (CIMENTS)     0.0393        4
20 01/12/2011 GROENIJK.YLCBN. DEAD - DELIST.31/05/479     0.2008        4

R：每月将变量分配给五分位数

1 个答案: