Boudt et al (2011) intraday jump detection algorithms
% THIS ZIP CONTAINS 3 FILES, 2 FUNCTIONS, AND 1 SCRIPT, RUN THE SCRIPTS SECTION BY SECTION. THE COMMENDS INSIDE IS SELF EXPLANATORY. RAW DATA IS IN STRUCT FORMAT. SEE SEPARATE FILE TO SEE HOW TO TRANSFORM RAW DATA INTO STRUCT.
Cite As
chris zhang (2021). Boudt et al (2011) intraday jump detection algorithms (https://www.mathworks.com/matlabcentral/fileexchange/59015-boudt-et-al-2011-intraday-jump-detection-algorithms), MATLAB Central File Exchange. Retrieved .
Comments and Ratings (6)
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxCategories
Tags
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Discover Live Editor
Create scripts with code, output, and formatted text in a single executable document.
Select a Web Site
Choose a web site to get translated content where available and see local events and offers. Based on your location, we recommend that you select: .
Select web siteYou can also select a web site from the following list:
Americas
- América Latina (Español)
- Canada (English)
- United States (English)
Europe
- Belgium (English)
- Denmark (English)
- Deutschland (Deutsch)
- España (Español)
- Finland (English)
- France (Français)
- Ireland (English)
- Italia (Italiano)
- Luxembourg (English)
- Netherlands (English)
- Norway (English)
- Österreich (Deutsch)
- Portugal (English)
- Sweden (English)
- Switzerland
- United Kingdom (English)
you need to make sure that the data input aligns with the specifications as per my code "convert TRTH equity data into struct data ". Everything that works is based on the assumption that the data is structured as per the code. 1min is fine, but my code can deal with any user-defined sampling frequencies.
Dear Prof.Zhang
I have 1 min interval data return series for 1 year and I need to identify jumps using Lee & Mykland 2008 using the above code but i am unable to run this , can you pls guide as to how this data array needs to structured? Do i have to split the 1 year data into days ? Or the 1 year return series can be inputted at once? Because my length(D) = 1 and hence len=0 and Nan in all outputs. Kindly assist me on the same.
thank you
Thanks Chine,I can only submit files less than 20MB,but I have a separate code for transforming raw data into a particular format I use--struct data, which is datatype I use for all my codes. Typical intra-day data is a bit cumbersome to process, let alone those micro-structure noises. Structure data is also good for storing intra-day data to avoid overnight returns.
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.
Can you share some sample input data for this function? Thanks