tick2ret (Financial Toolbox)

Incremental return series from a tick price series.

Syntax

[RetSeries, RetIntervals] = tick2ret(TickSeries, TickTimes)

Arguments


`TickSeries`	Number of observations (`NUMOBS`)-by-number of assets (`NASSETS`) matrix of prices of equity assets. First row is oldest observation. Last row is most recent.
`TickTimes`	`NUMOBS`-by-`1` increasing vector of observation times. Times are taken as serial date numbers (day units) or as decimal numbers in arbitrary units (e.g., yearly). (Optional)

Description

tick2ret

computes the asset returns realized between NUMOBS observations of prices of NASSETS assets.

RetSeries is a NUMOBS-1 by NASSETS matrix of incremental return observations. The i'th return is quoted for the period TickTimes(i) to TickTimes(i+1) and is not scaled to a yearly return.

  RetSeries(i) = TickSeries(i+1)/TickSeries(i) - 1

RetIntervals is a NUMOBS-1 by 1 vector of interval times between observations. If TickTimes is not specified, all intervals are assumed to have length 1.

Example

Compute the periodic returns of two stocks observed in the first, second, third, and fourth quarters.

TickSeries = [100 80
              110 90
              115 88
              110 91];
TickTimes = [0
             6
             9
             12];
[RetSeries, RetIntervals] = tick2ret(TickSeries, TickTimes)
RetSeries =
    0.1000    0.1250
    0.0455   -0.0222
   -0.0435    0.0341
RetIntervals =
     6
     3
     3