How do I calculate log returns for prices series? i.e. what is the syntax to use the continuous method with the "tick2ret" function?

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Brindha Gunasingham 2022-2-7

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https://ww2.mathworks.cn/matlabcentral/answers/1644665-how-do-i-calculate-log-returns-for-prices-series-i-e-what-is-the-syntax-to-use-the-continuous-met

编辑： Moksh 2023-11-17

The help documentation for tick2ret suggests that there are two methods (simple and continuous), however it doesn't provide the syntax for choosing the method used. I would like to compute returns using both methods.

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Answer 1

Moksh 2023-11-8

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https://ww2.mathworks.cn/matlabcentral/answers/1644665-how-do-i-calculate-log-returns-for-prices-series-i-e-what-is-the-syntax-to-use-the-continuous-met#answer_1348662

编辑：Moksh 2023-11-17

在 MATLAB Online 中打开

Hi Brindha,

I understand that you are trying to use the “tick2ret” function in MATLAB for getting return for price series using “continuous” approach.

You can specify the “Method” parameter as “continuous” in the function argument while passing the input to get the required results.

Here is an example code for this:

% Example tick data
tickData = [1; 2; 3; 4; 5];
% Compute returns using the simple method
returns_simple = tick2ret(tickData);
% Compute returns using the continuous method
returns_continuous = tick2ret(tickData, 'Method', 'continuous');
display(returns_continuous);
returns_continuous = 4×1
    0.6931
    0.4055
    0.2877
    0.2231