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