Re: Date based calculations

• To: mathgroup at smc.vnet.net
• Subject: [mg119808] Re: Date based calculations
• From: Heike Gramberg <heike.gramberg at gmail.com>
• Date: Thu, 23 Jun 2011 07:25:54 -0400 (EDT)
• References: <201106220744.DAA06132@smc.vnet.net>

```You can select the entries whose date lie within a range by using something like this

dates[date1_, date2_] :=
Select[data, OrderedQ[DateList /@ {date1, #[[1]], date2}] &]

dates["9-May-11", "19-May-11"]

output:

{{"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}}

Then Mean[dates["9-May-11", "19-May-11"][[All, 2 ;;]]] and
Covariance[dates["9-May-11", "19-May-11"][[All, 2 ;;]]] should give you the mean and covariance
matrix of the returns during those dates.

Heike

On 22 Jun 2011, at 08:44, Priyan Fernando 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 stocks
> 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 correct
> functions in Mathematica. Any suggestions are much appreciated.
>
> Thank you.
>
>

```

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