MATLAB: Itraday returns/ time series creation

intraday returns

Hi,
I work with the below sample of (intraday) high freequency stock data:
sample:
STOCK DATE TIME PRICE VOLUME
ETE 22082011 11301514 05.21 500
ETE 22082011 11301713 06.51 1000
ETE 22082011 11311517 07.11 500
ETE 22082011 11321514 06.31 1000
I need to create new time series of stock returns (defined as Rt= ln(Pt/Pt-1)) for multiple time scales, i.e 3-min returns, 5-min returns,…, up to 180-min returns.
However the totalsize of the data is huge ( almost 9 mil observations).
Could someone suggest a time-efficient method of create these time series.
Many Thanks in advance
Panos,
PS: The column TIME indicates hour/minute/seconds/millisecs with observations being even at the same millisecond

Best Answer

Before any suggestion:
  • Observations with the same time-stamps are usually aggregated using the median.
  • Which price do you want to take for the sampling grid? First, last, max, min, previous, next, linear interp.?
See Brownlees & Gallo 2006, Computational Statistics & Data Analysis.
I suppose you need daily grids and you're sampling in calendar time (as opposed to tick-time sampling)?
If you're trying to calculated Realised Variance measures: http://www.kevinsheppard.com/wiki/MFE_Toolbox
This toolbox takes care of most of the aspects.
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