Intersection of multiple time-series
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I managed to get the intersection of all time-series, but now I want to reduce all matrices based upon this intersection stored in 'AnB':
So the problem is how to extract all rows for that I have data points. As of now the last line is incorrect.
May somebody help me? Thank you very much!
%%1. Get data
conn = yahoo('http://download.finance.yahoo.com');
stocks = {'^GDAXI';'DB1.DE';'ADS'}
Beginn = {'Jan 01 2009'}
Ende = {'Dec 31 2011'}
N = length(stocks)
data = cell(N,1);
for n = 1:N,
data{n} = fetch(conn, stocks(n,1),{'Close', 'Adj Close'},Beginn, Ende, 'd');
end;
%%2. Sync time series
for n = 1:N,
% Get the dates where I have data in all series (intersection)
AnB = intersect(data{n,1}(:,1),data{n,1}(:,1));
end;
for n = 1:N,
% Now delete all rows in every time-series that are not part of the intersection
[c, a, b] = intersect(AnB(:,1),data{n,1}(:,1));
data{n,1} = data{n,1}(a,:); % --> this gives an error
end;
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Réponses (2)
Fangjun Jiang
le 26 Sep 2011
Use this example, the key is to check the extra return arguments of intersect().
A={'a',1;'b',2;'c',3;'d',4};
B={'a',10;'c',30;'e',40;'f',50};
[AnB,IA,IB]=intersect(A(:,1),B(:,1));
NewA=A(IA,:);
NewB=B(IB,:);
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Léon
le 26 Sep 2011
1 commentaire
Fangjun Jiang
le 26 Sep 2011
Please give a short snip of data to make your point. Others won't go fetch the stock from Yahoo to test your code. You also need to double check your code. AnB = intersect(data{n,1}(:,1),data{n,1}(:,1)) has two exact same input arguments.
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