time based moving average (and other newbie mathematica questions)
- To: mathgroup at smc.vnet.net
- Subject: [mg92681] time based moving average (and other newbie mathematica questions)
- From: falcon <shahbazc at gmail.com>
- Date: Fri, 10 Oct 2008 04:35:34 -0400 (EDT)
Hi, I see that Mathematica provides a couple of moving average functions. As far as I can tell, they are based on the number of elements in an array. Is there a function for doing moving average based on time? In other words, if I pass in intra-day data containing prices, times (up to a millisecond) and some other fields, can I get Mathematica to to give me a 5 minute moving average rather than moving average of the last 100 trades? Obviously this five minute window may contain any number of elements. Secondly, along the same idea, I have a file with a large number of stocks. They are all mixed in (the file is in chronological order). Is there an sql type 'group by' command that lets me see moving averages for each stock? Third, if I'm able to get moving average for each stock in the list, can I plot all of them in one command (I guess this technique is called "small multiples" in charting vernacular). Obviously I will only have 20 or 30 stocks. Thanks