data manipulation: increase standard deviation

2020 4 10
1 个回答
更新时间：2020 4 13
5 次查看（30 天）

0 个投票

Hello,
how do I increase the volatility (standard deviation) of a dataset (e.g., hourly price data)?
This is how this could look like.

请先登录，再回答此问题。

回答（1 个）

Rajani Mishra
Rajani Mishra 2020-4-13

0 个投票

Standard Deviation gives an estimate of the size of a typical deviation from the mean. Low Standard deviation means data points are closer to mean, Whereas High Standard deviation indicates higher deviation.
For increasing standard deviation, you can try below steps:
  1. Compute mean of the data set
  2. Increase Values greater than the mean
  3. Decrease Values lesser than the mean
This would increase the deviation of all points from the mean and hence increase the Standard Deviation.

1 个评论
显示 -1更早的评论 隐藏 -1更早的评论

Jon Jae
Jon Jae 2020-4-13
Thank you, Rajani! This is an interesting appraoch and it is indeed how I created the graphic above.
See executable code below. My problem with this appraoch is, that I don't get an stable / predictable overall increases of the std deviation. E.g., with the code below I have a increase/decrease for value x of 0.1 --> this leads to an overall increase of the std. dev of 0.85%. For a different data set this increase might be totaly different.
The goal would be a function that I can feed the dataset into, that will increase/decrease each datapoint to receive an overall increase/decrease of the std dev.
This is part of a sensitivity analysis, I am investigatinghow a hydro storage algroithm reacts to different price volatilities.
A = [32050,31860,31780,31510,31990,33020,34990,37930,40240,40080,39540,37930,34940,34800,34420,34940,35630,43150,49050,39390,35810,34920,33570,32960,34670,33970,33970,33610,33620,33860,34590,35490,36900,40660,44600,42400,40640,38010,35970,35870]
% manipulation setting
percVariation = 0.1
increase = 1 + variation
decrease = 1 - variation
%increasing/decreasing values
for ii = 1:numel(A)
if A(ii) >= mean(A) %no particular reason 'greater equals', negelectable in larger data set
B(ii) = A(ii) * increase;
else A(ii) < mean(A)
B(ii) = A(ii) * decrease;
end
end
% calculating increase/decrease
change = ((std(B) - std(A)) / std(A))
plot(A)
hold on
plot(B)
legend('A', 'manipulated')

请先登录，再进行评论。

类别

在 帮助中心 和 File Exchange 中查找有关 Tables 的更多信息

产品

版本

R2019b

标签

提问:

Jon Jae
Jon Jae
2020-4-10

评论：

Jon Jae
Jon Jae
2020-4-13

Community Treasure Hunt

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

Start Hunting!

Translated by