What should I consider when building 'financial time series' functions.

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Scragmore 2011-10-23

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Hi,

I would like some advice on what I should be thinking about whilst building this project. How should I import data, structures I should consider, functions that might be useful.

I am currently teaching myself as a hobby how to use Matlab, I'm not a total n00b to programing having done a little c/c++, I would consider myself an expert in excel and an intermediate 'cut and paste' VB programmer :) I am defiantly not familiar with Matlab lingo yet.

I have end of day equities data and minute currency data. Pretty much all my data is in the standard format sitting in single table on DB;

Equity ticker/curency pair, Date+time, open, close, high, low, numerical...

I can import this and am now getting familiar with date and time series manipulation. My first real question, should I import the ticker or currency pair or should I convert this to a numerical index number? I eventually would like matlab to run through all my data set differentiating each equity.

Do I use a 2D matrix to hold this, ie a direct mirror of the DB or should I consider a 3D where the data is stacked by equity ticker/num.

What should I consider with my time series, I would eventually like to ask Q? regarding what happens to the data say between 3-4pm? How do I flag a time when certain criteria are met for a specific equity?

I would appreciate any advice on how I should approach building up this projects complexity or any functions that may be useful or should be familiar with.

I look forward to your responses.