Data formatting - Volatility and return columns.

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Andrew Czeizler 2019-3-20

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评论： Andrew Czeizler 2019-3-21

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Hi All,

I need some help building a datase of financial data to use in experiments.

I need the daily and return and daily volatility of columns of symbols i download.

First attempt is below. The loop works but I'm not sure how proceed with creating columns of daily

return and volatility.

Many thanks,

Best,

Andrew

symbols = {'^GSPC', 'DAX',  '^N225', 'GLD', 'QQQ'};
for i = 1:length(symbols)
    symbols{i} = table2timetable(F_Alphavantage('time_series_daily_adjusted', 'symbol',...
        symbols{i}, 'outputsize', 'full'));
 
   
end
TT= synchronize(symbols{1}, symbols{2}, symbols{3}, symbols{4}, symbols{5})
TT = rmmissing(TT)
returnFunc = @(open,high,low,close,volume) (close) - (open);
weeklyReturn = rowfun(returnFunc,symbols{1},'OutputVariableNames',{'Return'});
weeklyStd = retime(symbols{1}(:,'Close'));
weeklyStd.Properties.VariableNames{'Close'} = 'Volatility';

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Andrew Czeizler 2019-3-21

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I have an update on my attempt to add volatility and return column. Still dont know how to get seperate tables for each symbol with the return and volatility column.

Any help would be very much appreciated.

Best,

Andrew

symbols = {'^GSPC', 'DAX',  '^N225', 'GLD', 'QQQ'};
for i = 1:length(symbols)
    symbols{i} = table2timetable(F_Alphavantage('time_series_daily_adjusted', 'symbol',...
        symbols{i}, 'outputsize', 'full'));
 
   
end
returnFunc = @(open,high,low,close,volume) log(close) - log(open);
for i=1:length(symbols)
    weeklyOpen{i} = retime(symbols{i}(:,'Open'),'daily','firstvalue');
    weeklyHigh{i} = retime(symbols{i}(:,'High'),'daily','max');
    weeklyLow{i} = retime(symbols{i}(:,'Low'),'daily','min');
    weeklyClose{i} = retime(symbols{i}(:,'Close'),'daily','lastvalue');
    weeklyTMW{i} = [weeklyOpen,weeklyHigh,weeklyLow,weeklyClose];
    weeklyTMW{i} = synchronize(weeklyTMW,symbols{i}(:,'Volume'),'daily','sum');
  
    
    weeklyReturn{i} = rowfun(returnFunc,weeklyTMW,'OutputVariableNames',{'Return'});
    weeklyStd{i} = retime(symbols{i}(:,'Close'),'daily',@std);
    weeklyStd.Properties.VariableNames{'Close'} = 'Volatility';
    weeklyTMW{i} = [weeklyReturn,weeklyStd,weeklyTMW];  
end