% 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.
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 .
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.
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.
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
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