How can I compare two financial time series from different data sources in MATLAB?

1 view (last 30 days)
Hello,
I need help performing analysis in MATLAB which compares financial time series (like PRICE_CLOSE, PRICE_RETURN and SECURITY_MARKET_CAP) originating from 2 different sources (vendors) (say A [testing source] and B [benchmark source - more reliable source]).
Other aspects of analysis which needs to be considered:
1. Time series ranges for more than 20 years of data (business days) for more than 10,000 securities having daily data coming from both sources for all 3 data points mentioned above.
2. Comparison analysis needs to be done for each of the 3 data points individually
3. Basic idea is to understand at what time point, testing source data point value is how much different from corresponding benchmark source data point.
4. There would be instances where testing source provides data but corresponding benchmark source reports NaN value, and vice-versa.
I need suggestions with respect to comparing both data sources in terms of statistics and which MATLAB tools/functions I could use for achieving the same.
Relevant Tests I could think of (please correct if not applicable) - Correlation analysis across time across securities, Graph plots on coverage across time for each data point in terms of security count, etc.
Please advise. I'd appreciate quick response, if possible.
Also, do let me know if I may provide more information.

Answers (0)

Community Treasure Hunt

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

Start Hunting!