Data Frequency Transformation
显示 更早的评论
Hi all,
I use a dataset of intraday stock prices at random time intervalas.
Is there any code to transform these data into specific freequency ones with respect to time (i.e. 5-min prices, 60-min prices etc)
Thanks in advance,
Panos
采纳的回答
Dr. Seis
2011-12-15
Try interpolation!
doc interp1
Here is an example using "interp1" with the method set to "spline":
T = 60*8; % max time = 480 minutes (= 8 hours)
t = 0:5:T; % uniform time across T every 5 minutes
t_rand = sort(rand(1,T)*T); % irregular time across T at random sample intervals
data = @(t)sin(2*pi*0.03*t) + cos(2*pi*0.1*t) + sin(2*pi*0.05*t) + 2*sin(2*pi*0.005*t) ;
data_interp = interp1(t_rand,data(t_rand),t,'spline');
plot(t,data(t),t_rand,data(t_rand),t,data_interp);
legend('Uniform time','Random time', 'Interp time');
更多回答（0 个）
类别
在 帮助中心 和 File Exchange 中查找有关 Price and Analyze Financial Instruments 的更多信息
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!
Translated by 
