Possible Bug in Dates Supplied with FinancialData Function
- To: mathgroup at smc.vnet.net
- Subject: [mg120364] Possible Bug in Dates Supplied with FinancialData Function
- From: Gregory Lypny <gregory.lypny at videotron.ca>
- Date: Wed, 20 Jul 2011 06:32:13 -0400 (EDT)
Hello everyone,
Not sure whether I've misunderstood how FinancialData works, but it
seems to me that the wrong date is attached to prices if they are
downloaded using a monthly frequency.
I used the following start and end dates.
seriesStartDate = {2009, 01, 01};
seriesEndDate = {2011, 6, 30};
I download daily prices for Apple Inc. by running
dailyPrices = FinancialData["AAPL", {seriesStartDate, seriesEndDate, =93Day=94}]
If I then download monthly prices by running
monthlyPrices = FinancialData["AAPL", {seriesStartDate, seriesEndDate, =93Month=94}]
the observations are dated at the beginning of each month but correspond to the price on the last day of the month. The price of Apple on 2009-01-30, for example, when downloaded as daily is $90.13 but when downloaded as monthly, that same price is date stamped 2009-01-02, that is, at the beginning of the month. So, when downloading using a monthly frequency, the date stamps may mislead you into thinking that you are getting beginning-of-month prices when, in fact, you are getting end-of-month prices.
I almost always need end-of-month prices, so to get the correct dates, I download as daily and extract the last daily observation for each month
GatherBy[dailyPrices, #[[1, {1, 2}]] &]
Last /@%
You could do the same using Cases.
Regards,
Gregory