% this zip contains 4 files, 3 functions and 1 script, run the script in section. comments enclosed should be self-explanatory. raw data is in matlab struct farmat. to transform raw data into struct, see separate file named "datato struct", it is user's responsibility to amend for their own purposes.
chris zhang (2021). Bollerslev, Todorov & Li (2013) intraday jump detection algorithm (https://www.mathworks.com/matlabcentral/fileexchange/59014-bollerslev-todorov-li-2013-intraday-jump-detection-algorithm), MATLAB Central File Exchange. Retrieved .
I emailed you to get the data, but I got failure delivery message which says the address couldn't be found.
Can you email me the data at firstname.lastname@example.org
I uploaded a sample data file and was deleted by the Matlab web since. If you have difficulties getting the right data structure, flip me an email (email@example.com) and I will send the data to you.
There is a separate code for Pairs Trading, in which a snapshot of the struct data is enclosed.
USE THE CODE I PROVIDED TO LOOP THROUGH THE RAW DATA (It could take a while, just experiment on a small piece of data and put into my code see if works), YOU SHOULD GET A DATATYPE LOOK LIKE WHAT IS IN THE SNAPSHOT.
Chris zhang, could you please share some raw data or submit a picture of the raw data?
so where is raw data file??
Seperate data file is missing?
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