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Re: Date based calculations

  • To: mathgroup at smc.vnet.net
  • Subject: [mg119800] Re: Date based calculations
  • From: Armand Tamzarian <mike.honeychurch at gmail.com>
  • Date: Thu, 23 Jun 2011 07:24:27 -0400 (EDT)
  • References: <its6eg$5uh$1@smc.vnet.net>

On Jun 22, 5:43 pm, Priyan Fernando <priyan.ferna... at gmail.com> wrote:
> I have the following time series data (19 rows by 4 columns):
>
> {{"03-May-11", -0.0400698, -0.00671613, -0.0333613}, {"04-May-11",
>   0, -0.00355872, -0.0169521}, {"05-May-11", 0.0453721,
>   0.0128572, -0.0248498}, {"06-May-11", 0.0052084, -0.00317346,
>   0.00290203}, {"09-May-11", -0.0155441, 0.0254686,
>   0.0597703}, {"10-May-11",
>   0.0315789, -0.0051742, -0.0179181}, {"11-May-11", -0.0323129,
>   0.00450769, -0.0346655}, {"12-May-11", 0,
>   0.0200207, -0.0200701}, {"13-May-11", -0.00702991, 0,
>   0.0400441}, {"16-May-11", 0, 0.00203048, -0.0121865}, {"19-May-11",
>   0.0318584, 0.00979397, 0.0229752}, {"20-May-11",
>   0.00343055, -0.00401342, 0.000611685}, {"23-May-11", -0.025641,
>   0.0020148, -0.0259388}, {"24-May-11", -0.00526314, 0.00435663,
>   0.00376576}, {"25-May-11", 0.0194003,
>   0.00133465, -0.0125949}, {"26-May-11", -0.0190311,
>   0.00533158, -0.00958927}, {"27-May-11", 0.0282187, -0.007955,
>   0.0026488}, {"30-May-11", -0.0291595,
>   0.00233883, -0.00291514}, {"31-May-11", 0.0212014, 0, -0.0383737}}
>
> The 1st Column is a date while Columns 2,3,4 represent the returns of sto=
cks
> A,B and C respectively. Could you please help me extract information base=
d
> on the date. E.g. date1 and date2 are variables inputted by the user.
>
> Example 1: Average returns of stocks A,B,C between 9-May-11 and 19-May-11
> (dates inclusive) are:
> 0.001221494    0.008092462    0.005421325
>
> Example 2: Variance/Covariance Matrix between of stocks A,B,C between
> 9-May-11 and 19-May-11 (dates inclusive) is
> 0.0004767002    -0.0000660161    0.0000041896
> -0.0000660161    0.0001054570    0.0001357245
> 0.0000041896    0.0001357245    0.0010817457
>
> This is easy to do in Excel, but I'm finding it hard to locate the correc=
t
> functions in Mathematica. Any suggestions are much appreciated.
>
> Thank you.

data = your data above.

You need to select using absolute times

Select[data, AbsoluteTime["09-May-11"] <= AbsoluteTime[#[[1]]] <=
AbsoluteTime["19-May-11"] &]

or

Cases[data, x_ /; AbsoluteTime["09-May-11"] <= AbsoluteTime[x[[1]]] <=
AbsoluteTime["19-May-11"]]

If this is going to be a regular operation it is probably best (i.e.
faster) to create a 5th column that contains the absolute time of the
date.

newData = Transpose@Join[Transpose[data], {AbsoluteTime /@ data[[All,
1]]}]

start = AbsoluteTime["09-May-11"];
finish = AbsoluteTime["19-May-11"];

Cases[newData, x_ /; start <= x[[5]] <= finish]

once you have done the extraction the additional operations look to be
straight forward.

Mike


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