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FinancialData and disjoint result sets from range and Month

  • To: mathgroup at smc.vnet.net
  • Subject: [mg99794] FinancialData and disjoint result sets from range and Month
  • From: N <enoman.nr at gmail.com>
  • Date: Thu, 14 May 2009 02:05:17 -0400 (EDT)

I have a puzzle, probably easily explained; apparently so easily
that it hasn't even appeared here.

>From examples in the Mathematica ref/FinancialData:

Give the monthly highs for a stock price over a range of dates:

  FinancialData["GE", "High", {{2005}, {2006}, "Month"}]

High is defined as:
  High: Highest price during the trading day

My guess, then, is that the source set is all intraday prices
for from start {2005,1,1} until end {2006,1,1}.

Consequentially I expect that there will be an intersection
for January between that result and this result:

  FinancialData["GE", "High", {{2005, 1, 1}, {2005, 2, 1}}]

There is not. The maximum for the date range:

  Map[#[[2]] &,
    FinancialData["GE", "High", {{2005, 1, 1}, {2005, 2, 1}}]] // Max

  = 31.2038

While from the earlier "Month" query we have

  = {{2005, 1, 3}, 31.2028}


If one considers that the date-range version might have a superset
of times, and the high occured in that interregnum, then comparing
March's result will disappoint: the opposite occurs (the high appears
in the "Month" result).

If one wishes to explain this by precision effect during calculation,
although I find that dubious, consider that FoldList[] on "Return"
will produce what "CumulativeReturn" delivers.

So, what's the simple explanation?

Thanks,
--N


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