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Last seen: bijna 3 jaar ago Active since 2018

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Shift n rows in column to next column by a grouping variable
I wish to shift every 5 rows to the next column as shown below. I have two columns C1 and C2. I want to shift every 5 rows repre...

bijna 3 jaar ago | 1 answer | 0

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answer

Question


How to create a sequence of datetime for given set of datetime series (with duplicate dates)?
I have table with a column DATETIME of the format ''dd-MM-yyyy HH:mm:ss'' (shown below) and wish to create a sequence of datetim...

bijna 3 jaar ago | 1 answer | 0

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answer

Question


How to estimate the summation equation quickly in Matlab?
I have to estimate PCi for 6 series. I have a dataset with daily data for 2 months which has DATE in format yyyy-mm-dd and 6 r...

meer dan 4 jaar ago | 1 answer | 0

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answer

Question


Estimate Two Scale Realised Variance TSRV in Matlab?
Hi I need to estimate Two Scale Realised Variance using 1 min and 5 min data. Kindly suggest how to do the same in matlab? I a...

meer dan 4 jaar ago | 0 answers | 0

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answers

Question


How to calculate spread with price at time t and bid and ask after t + 5 min?
Hi I have to calculate this spread measure wherein i have DATETIME column in format shown along with PRICE and BID and ASK rat...

meer dan 4 jaar ago | 0 answers | 0

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answers

Question


How to run GARCH in Mean model with dummy variable in conditional variance equation?
I need to run GARCH in Mean model to test the impact of a dummy variable on the conditional volatility . How to run it?

bijna 5 jaar ago | 0 answers | 0

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answers

Question


Calculate log return between the first and last observation in a day ?
I have 1 min prices for each day begining 09:30 to 4:00pm and i need to calculate daily log return i.e. log(close price on the d...

ongeveer 5 jaar ago | 1 answer | 0

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answer

Question


Remove rows using Cellfun satisfying customised function
I have a cellarray A which has 10 columns of which i need to apply this below mentioned condition on the 8th column of each cell...

ongeveer 5 jaar ago | 1 answer | 0

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answer

Question


Remove certain rows from cell array that deviates by more than 10 mean absolute deviations from a rolling centered median (excluding the observation under consideration) of 50 observations (25 observations before and 25 after).
I have a cellarray A which has 10 columns of which i need to apply this condition - "deviated by more than 10 mean absolute devi...

ongeveer 5 jaar ago | 1 answer | 0

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answer

Question


How to Delete entries for which the mid-quote deviated by more than 10 mean absolute deviations from a rolling centered median (excluding the observation under consideration) of 50 observations (25 observations before and 25 after).
I have a cell array of midquotes split on days. I need to Delete entries for which the mid-quote deviated by more than 10 mean ...

ongeveer 5 jaar ago | 1 answer | 0

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answer

Question


How to create a only a time vector starting 13:15:00 to 20:59:00 with 1 minute interval? R2016a
I already have a DATE series and i need to create a time series wiith equally spaced 1 minute interval from 13:15:00 to 20:59:00...

meer dan 5 jaar ago | 1 answer | 0

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answer

Question


How to extract element of all matrices within a cell array using cellfun?
I need to extract (2,1) i.e. second row and first column element of all matrices within cell array ?

meer dan 5 jaar ago | 3 answers | 0

3

answers

Question


How to detect intraday jumps using Lee & Mykland 2008,2012 methodology ?
Is there a code for executing Lee and Mykland 2008, 2012 Jump Detection for intraday data in matlab ?

meer dan 5 jaar ago | 0 answers | 0

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answers

Question


How to run Main Function saved in mfile that has many subfunction that are saved in separate mfiles but all has to run together due to iteration within main function?
I am using R2016a version. I have a function file with a following structure - function[out1, out2,...,out5]=MAINFUNCTI...

meer dan 5 jaar ago | 0 answers | 0

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Question


Split a large intraday 1 minute data for each DATE into MATRIX for each DATE?
How can I split an intraday data with DATETIME stamp to each DATE to run a function on each day as matrix? I did - # Separ...

meer dan 5 jaar ago | 1 answer | 0

1

answer

Question


fmincon gmm function - how to define moment condition
I have 3 price series and three moment condtions from which i need to estimate sigma2, alpha,psi and omega using GMM. I have cal...

meer dan 5 jaar ago | 0 answers | 0

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answers