correlation using specific values of the table
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Hello, im trying to calculate the correlations of 3 different stocks and an index. I got the code up to here
clc
clear all
formatSpec = '%s %f %f %f %f';
temp_dat = readtable('Prices4.csv','Format',formatSpec,'ReadVariableNames',true);
% Extract pirices from table
price = table2array(temp_dat(:,2:end));
%Returns
rets = log(price(2:end,:)./price(1:end-1,:));
I want to Find the correlation matrix between the stocks on days when index returns are positive, and the correlation matrix when index returns are below the 10th percentile.
I dont know how to tell matlab to only take in to account those specifc values .
回答(1 个)
Hiro Yoshino
2022-9-10
Here is my idea.
I reccomend you should use useful functions such as price2ret, corrplot (corr), prctile and the functionality of timetable as follows:
Sample data generation
t = datetime(2022,8,1:31,12,0,0)';
price = timetable(t,rand(31,1),rand(31,1))
Return calculation
tmp = price2ret(price);
price_to_return = tmp(:,["Var1","Var2"])
[1] correlation between positive returns
find the data indices that satisfy the condition (positive return) to work out the correlation.
pos_idx = (price_to_return.Var1 > 0) & (price_to_return.Var2 > 0);
[R,pValue] = corrplot(price_to_return(pos_idx,:))
[2] ccorrelation between returns under 10th percentile
first, calculation the 10 percentile values for Var1 and Var2 respectively:
prct10 = prctile(price_to_return.Variables,10)
find the data indices that meet the condition ( < 10 percentile)
Var1_idx = price_to_return.Var1 < prct10(1);
Var2_idx = price_to_return.Var2 < prct10(2);
calculate the correlation:
[R2,pValue2] = corrplot([price_to_return.Var1(Var1_idx),price_to_return.Var2(Var2_idx)])
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