Number of observations (NUMOBS) by
number of assets (NASSETS) matrix of prices of
equity assets. Each column is a price series of an individual asset.
First row is oldest observation. Last row is most recent. Observations
across a given row occur at the same time for all columns.

TickTimes

(Optional) NUMOBS-by-1 increasing
vector of observation times associated with the prices in TickSeries.
Times are serial date numbers (day units) or decimal numbers in arbitrary
units (for example, yearly). If TickTimes is empty
or missing, sequential observation times from 1, 2, ... NUMOBS are
assumed.

Method

(Optional) Character string indicating the method to
convert prices to asset returns. Must be 'Simple' (default)
or 'Continuous'. If Method is 'Simple', tick2ret computes
simple periodic returns. If Method is 'Continuous',
returns are continuously compounded. Case is ignored for Method.

Description

[RetSeries, RetIntervals] = tick2ret(TickSeries, TickTimes, Method) computes
the asset returns realized between NUMOBS observations
of prices of NASSETS assets.

RetSeries is a (NUMOBS-1)-by-NASSETS time
series array of asset returns associated with the prices in TickSeries.
The ith return is quoted for the period TickTimes(i) to TickTimes(i+1) and
is not normalized by the time increment between successive price observations.
If Method is unspecified or 'Simple',
the returns are:

RetSeries(i) = TickSeries(i+1)/TickSeries(i) - 1

If Method is 'Continuous',
the returns are:

RetSeries(i) = log[TickSeries(i+1)/TickSeries(i)]

RetIntervals is a (NUMOBS-1)-by-1 column
vector of interval times between observations. If TickTimes is
empty or unspecified, all intervals are assumed to have length 1.

This example shows how to convert price series to return series, given periodic returns of two stocks observed in the first, second, third, and fourth quarters.