Data Frequency Transformation

Hi all,

I use a dataset of intraday stock prices at random time intervalas.

Is there any code to transform these data into specific freequency ones with respect to time (i.e. 5-min prices, 60-min prices etc)

Thanks in advance,

Panos

Answer 1

[Dr. Seis]

Try interpolation!

doc interp1

Here is an example using "interp1" with the method set to "spline":

T = 60*8; % max time = 480 minutes (= 8 hours)
t = 0:5:T; % uniform time across T every 5 minutes
t_rand = sort(rand(1,T)*T); % irregular time across T at random sample intervals
data = @(t)sin(2*pi*0.03*t) + cos(2*pi*0.1*t) + sin(2*pi*0.05*t) + 2*sin(2*pi*0.005*t) ;

data_interp = interp1(t_rand,data(t_rand),t,'spline');

plot(t,data(t),t_rand,data(t_rand),t,data_interp);
legend('Uniform time','Random time', 'Interp time');