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Re: time based moving average (and other newbie mathematica

  • To: mathgroup at smc.vnet.net
  • Subject: [mg92789] Re: time based moving average (and other newbie mathematica
  • From: Mark Fisher <particlefilter at gmail.com>
  • Date: Mon, 13 Oct 2008 06:19:50 -0400 (EDT)
  • References: <gcn496$751$1@smc.vnet.net>

On Oct 10, 4:37 am, falcon <shahb... at gmail.com> wrote:
> 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

Following up on my previous post, this version is faster:

MovingTimeAverage =
	Compile[{{data, _Real, 2}, {lag, _Real, 0}},
	Module[{j = 1},
	Table[
		While[data[[i, 1]] - data[[j, 1]] > lag, j++];
		{data[[i, 1]], Mean[data[[j ;; i, 2]]]},
			{i, Length[data]}]
	]]

It didn't occur to me right away to put the two pieces together.

--Mark


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