TSBenchmark

Performance Benchmarking of TS libraries in R

Task

Transform a daily price time-series object to monthly returns.

• Input: Nx2 object (N days), columns Date and Price
• Output: Mx2 object (M months), columns Month and Return

Current Implementations

• xts
• data.table
• dplyr
• base
• quantmod

Hardware

• Intel® Core™ i7-8565U CPU @ 1.80GHz × 8
• 16GB LPDDR3 2133MHz
• Ubuntu 18.04 LTS

Results

Credits

• @mattdowle: Integer-based month grouping for the data.table solution
• @joshuaulrich: Improved xts solution