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Forecasting the FTSE 100 with high-frequency data: A comparison of realized measures (not a question)

Asked by Oleg Komarov on 1 Oct 2011

Reference page for the FEX submission related to my Dissertation (MSc in Finance & Economics 2010/11)

LINKS

Link to the code on FEX: MATLAB code

Link to the paper on SSRN: Forecasting the FTSE 100 with high-frequency data: A comparison of realized measures

STATS

Some stats from SSRN on my paper (using Trendy: http://www.mathworks.com/matlabcentral/trendy/plots/741)

CONTENT OF SUBMISSION

Brief contents of the submission:

  • 20110916_Dis.m
  • bp.m
  • fltmedian.m
  • fltout.m
  • fltprice.m
  • realized_...m

where the dots after realized_ indicate that there are several realized measures: var, semivar, bpv, tbpv, tripv.

The private folder contains:

Other needed submissions

FUNCTION TODO LIST

  • Implement the corrected realized_tbpv.

ANALYSIS TODO LIST

KNOWN ISSUES

  • If a day has a whole (missing data) filtret.m does not pad the previous observation as it should under 'CalendarTime', 'Last'. In my analysis the problem occurs only a couple of times which are excluded during the cleaning of the data.

HISTORY

  • 01 Oct 2011, 17:08 BST - Submitted to the FEX
  • 17 Feb 2012, 13:04 BST - Edited description of this page and added trendy plot.

Feedback of ANY kind is welcome.

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Oleg Komarov

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