Wolfram Language

Traitement des séries temporelles

Changement fractionnaire cumulatif

Calculez le changement fractionnaire cumulatif pour le prix des actions SBUX pour l'année 2015 à partir de série temporelle du changement fractionnaire des prévisions des actions de SBUX.

Montrer l'entrée complète de Wolfram Language
In[1]:=
Click for copyable input
ts = TimeSeries[ FinancialData["SBUX", "FractionalChange", {"2 Jan 2013", "31 Dec 2015"}, "Value"], {"3 Jan 2013", "31 Dec 2015", "BusinessDay"}, HolidayCalendar -> {"UnitedStates", "NYSE"}];
In[2]:=
Click for copyable input
ts = TemporalData[TimeSeries, {CompressedData[" 1:eJw9Vwk0lV243oYifyIkSaWBUJlS8Zf2yZTUQWQOxxwajJnZ5nkeMhUVihAZ kmifSsVfEaUiiaJoIkWi4b7ddddtrRbrHN/+9n7eZ9pr7U8YOXEihDjg/9e/ v9wJj1ycEoRR0eF9fJV+GOXuWGZwYQ9Ggl6u9S7WdCjg5/45tQyKlgQmcv22 pKRFJom/LByjiC1yXw0DKGIlKNj5H6VoxdMB5SQHis6FC30ucMboi22ewwFY z824WP2dG2aMS26Ta42kSPEdz/tEFh7i2MPQ5i7FbA9y/2ZgEiU8wTfiGkIp 2j4x3ugXglHlEa63yXYYGZlw63EkYlTzevPH64kUre3cX+0D6/5i7T760oki i8+i823uFCUcb7h2JQKTbrUAx0YPiu4GudVG2GGy/BY11A+jKLx550CCD2Wt P352qX4ORT0DOprZLMyu4tI54pFNkYzqropsXYzK0l+5B6ZiQnbwX5WCc9cc 97uVbILZlRmtM//lYlRhfm83ty9G6Erb3tEdGCnZht+cS8HoiKK6dnsyRot2 6b6zi8bIQWWyoCgLI1LOjoyD85gnLlW/aUhRUsTMjIAfRZwreNI7YJ2kwjTB rlSKxmwvbri2nRLrOvOGT/EUVe9IZ907/HefmoZF0Zj0JHAriwfBPjMKPGv9 MPkurlpaHEfR4vOtDzkDMbo4+vSwuCNFhu2+Mrx7MVoXos3NbUbRotXDmCcP MziDrAMvA/6y60ZfiMN+BLwinvf5Ai6ynnuqTsL+KuNuc8N7nbOeMR4DH5Zk JSueB9yflDZ7PQnH5JKC8Kb3pyiK0/eXlUvB5LOwr8veIEqa1i+puhxGSfyl V+cl44BHjkfkez0wkgk1LFBKwGjrt99p5qGYHMqLlpuIweh5CPn2kQCu6Qcl H0RiVMJedDDLEzP0+o0YabEUST9UyjL3wIx2U/FPWnkYFd+f3KgUhdHhYKWg xSYUGakxBueOYpQlXVDH0KNIcGI1YcJ7o3y7JjZ7UaSbWC7RE4NJw6eYC9fD MVs3eEqxCN7ncTpnrgb40Rh2SU7Wm6It0VHZXwG3zwNrZsIsKGrovTYmEUXR VeV1nucAR562VdrLkzF7oewiERH4fJTrDSvPkZKdhf7v9gNu5f0JzFs+GLVi 64XtLEpK/vszyZFG0T2l0NemMZglf/CtnmsxZsSf1St9nobJYdv05axoijZP X7pjnULZ9qwnftK5mGjxGq76cZIiCTq7rw/280tv09ypNMxICCnSE4imrJ3W StYWGZRxIaY/pgTOYVhzXjoW1ukWH1e0isVsDsKQbkvDSF6E0ehgRdGJ3bfj vJwp8dO+ogs4oOBf2RocoNf7Rc3PdcIw+jF/vTM1ABNvluHELvjc0DMoVwl0 q1ivIPliF0WPnDh3l2ZgJMo/GOsFvJD599yY8gE4741VX0/COeX5zN09Myn6 bc4j2g1zFizSvpnghVHoY75yB3c8pHFf2GZLFiX6E57G7amULNIUs5s/hRmz vkZ+IXWY8dHcL9cFeHZ/4ey0UwhlD4QYDKpGUJTb8WfGpwijueEHpu9g3jL6 gwW14CtWcq2XLyRQdvubpKWy4RTNv8RTOqAvHWMPNy9biswtN5/bY40JPVad vg90r9hV/1E7hjKYe0PLzoOumiL6BO7vpMg3TU/jkD9F+q8iLqWC7jxejikq gE6WcSo07kzHyH+UzL81wKj5eYVpyCGKfk1W3iK5FIkKvd9kGQvfM7NfOLli 9vaXcpa/YL8TgZdsrFMx0r4Voz0SCr75pDHUA567gO2u7ANd8G/et3M0DrP7 eVVcZfMw6RTc5r4B5sQ3VNB/9Dic0zO2s8yEEuMixZnXnhR1mb7Ovgs6rxNp 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{"UnitedStates", "NYSE"}}}, True, 314.1];

La série temporelle est échantillonnée régulièrement les jours ouvrables.

In[3]:=
Click for copyable input
ts["MinimumTimeIncrement"]
Out[3]=
In[4]:=
Click for copyable input
RegularlySampledQ[ts]
Out[4]=

Le changement fractionnaire cumulatif est calculé selon la formule suivante.

In[5]:=
Click for copyable input
fun := (Exp[Accumulate[Log[# + 1]]] - 1) &

Appliquez le changement fractionnaire cumulatif apporté à la série temporelle des prix d'actions.

In[6]:=
Click for copyable input
res = fun[ts];
Montrer l'entrée complète de Wolfram Language
In[7]:=
Click for copyable input
DateListPlot[{ts, res}, PlotTheme -> "Detailed", PlotLegends -> {"fractional change", "calculated cumulative fractional change "}]
Out[7]=

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