Geometric mean for a specific time intervals

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Charles Martineau 2012-6-1

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https://ww2.mathworks.cn/matlabcentral/answers/40046-geometric-mean-for-a-specific-time-intervals

Hi all,

say that I have a matrix (NX2) where the first column's elements are the number of seconds (since midnight) and the second column is stock returns associated to associated to the seconds. How can I use the function geomean and compute the geometric returns for a specific time interval? Say the geomean returns at every minute interval? The problem is that I might have say 4 stock returns in some specific minute interval and sometime 10 returns in another interval. If I extract all the trades by minutes, the numbers of returns registered in each minute interval will not be the same. Thank you!

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Oleg Komarov 2012-6-1

Please do NOT delete answered questions.

Charles Martineau 2012-6-1

Hi Oleg, sorry I did deleted my previous question by mistake!

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Answer 1

Andrei Bobrov 2012-6-1

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https://ww2.mathworks.cn/matlabcentral/answers/40046-geometric-mean-for-a-specific-time-intervals#answer_49676

在 MATLAB Online 中打开

data = [(1:130)', randi(100,130,1)];
out = accumarray(ceil(data(:,1)/60),data(:,2),[],@geomean,NaN);

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Answer 2

Charles Martineau 2012-6-1

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https://ww2.mathworks.cn/matlabcentral/answers/40046-geometric-mean-for-a-specific-time-intervals#answer_49718

Andrei thanks a lot! I didn't know about the accumarray function. I should have been more clear though in my question: I have multiple days stack on over the other. For intance: all stock returns per second for Sept.02 and then Sept.03. I have to find out how not to accumulate geomean returns combining multiple days at the same time.