How to convert dataframe into time series?

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

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)