Playing with time series matrices

Hi all, I have a time series matrix (ie : first column being a date, second a value of an investment) and I wish to compute the daily returns. What's the formulae I should use in the command windows ? Thanks, Xuan

Answer 1

[Cam Salzberger]

Hello Dinh,

I understand that you are looking to determine the daily return from investment data. I am assuming that your data is formatted similarly to this:

Data = [datenum(now-30:now).' 500*rand(31,1)+1000];

The daily return can be calculated quite simply using the diff function to determine the gain or loss from each day:

dailyGain = [0 ; diff(Data(:,2))];
dailyReturn = dailyGain/Data(1,2);

The data can then be easily visualized, including the dates on the x-axis, with:

plot(datetime(Data(:,1),'ConvertFrom','datenum'),dailyReturn)

If your dates are something other than MATLAB datenums, you can still convert them with the datetime function's 'ConvertFrom' parameter.

I hope this helps with your financial data calculations.

-Cam