Geometric mean for a specific time intervals

2 次查看（过去 30 天）
Charles Martineau
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!

请先登录，再回答此问题。

采纳的回答

Andrei Bobrov
Andrei Bobrov 2012-6-1
data = [(1:130)', randi(100,130,1)];
out = accumarray(ceil(data(:,1)/60),data(:,2),[],@geomean,NaN);

更多回答（1 个）

Charles Martineau
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.

类别

在 Help Center 和 File Exchange 中查找有关 Descriptive Statistics 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by