Question

How to estimate the summation equation quickly in Matlab?

I have to estimate PCi for 6 series. I have a dataset with daily data for 2 months which has DATE in format yyyy-mm-dd and 6 r...

10 days ago | 1 answer | 0

Question

Estimate Two Scale Realised Variance TSRV in Matlab?

Hi I need to estimate Two Scale Realised Variance using 1 min and 5 min data. Kindly suggest how to do the same in matlab? I a...

11 days ago | 0 answers | 0

Question

How to calculate spread with price at time t and bid and ask after t + 5 min?

Hi I have to calculate this spread measure wherein i have DATETIME column in format shown along with PRICE and BID and ASK rat...

2 months ago | 0 answers | 0

Question

How to run GARCH in Mean model with dummy variable in conditional variance equation?

I need to run GARCH in Mean model to test the impact of a dummy variable on the conditional volatility . How to run it?

4 months ago | 0 answers | 0

Question

Calculate log return between the first and last observation in a day ?

I have 1 min prices for each day begining 09:30 to 4:00pm and i need to calculate daily log return i.e. log(close price on the d...

7 months ago | 1 answer | 0

Question

Remove rows using Cellfun satisfying customised function

I have a cellarray A which has 10 columns of which i need to apply this below mentioned condition on the 8th column of each cell...

8 months ago | 1 answer | 0

Question

Remove certain rows from cell array that deviates by more than 10 mean absolute deviations from a rolling centered median (excluding the observation under consideration) of 50 observations (25 observations before and 25 after).

I have a cellarray A which has 10 columns of which i need to apply this condition - "deviated by more than 10 mean absolute devi...

8 months ago | 1 answer | 0

Question

How to Delete entries for which the mid-quote deviated by more than 10 mean absolute deviations from a rolling centered median (excluding the observation under consideration) of 50 observations (25 observations before and 25 after).

I have a cell array of midquotes split on days. I need to Delete entries for which the mid-quote deviated by more than 10 mean ...

8 months ago | 1 answer | 0

Question

How to create a only a time vector starting 13:15:00 to 20:59:00 with 1 minute interval? R2016a

I already have a DATE series and i need to create a time series wiith equally spaced 1 minute interval from 13:15:00 to 20:59:00...

9 months ago | 1 answer | 0

Question

How to extract element of all matrices within a cell array using cellfun?

I need to extract (2,1) i.e. second row and first column element of all matrices within cell array ?

9 months ago | 2 answers | 0

Question

How to detect intraday jumps using Lee & Mykland 2008,2012 methodology ?

Is there a code for executing Lee and Mykland 2008, 2012 Jump Detection for intraday data in matlab ?

10 months ago | 0 answers | 0

Question

How to run Main Function saved in mfile that has many subfunction that are saved in separate mfiles but all has to run together due to iteration within main function?

I am using R2016a version. I have a function file with a following structure - function[out1, out2,...,out5]=MAINFUNCTI...

11 months ago | 0 answers | 0

Question

Split a large intraday 1 minute data for each DATE into MATRIX for each DATE?

How can I split an intraday data with DATETIME stamp to each DATE to run a function on each day as matrix? I did - # Separ...

11 months ago | 1 answer | 0

Question

fmincon gmm function - how to define moment condition

I have 3 price series and three moment condtions from which i need to estimate sigma2, alpha,psi and omega using GMM. I have cal...

11 months ago | 0 answers | 0