Cambio fraccional acumulativo
Calcule el cambio fraccional acumulativo para los precios de acciones de SBUX para el año 2015 a partir de la correspondiente serie temporal de cambio fraccional de los previos de acciones de SBUX.
muestre la entrada completa de Wolfram Language
In[2]:=
ts = TemporalData[TimeSeries, {CompressedData["
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"], {
TemporalData`DateSpecification[{2013, 1, 3}, {2015, 12, 31},
"BusinessDay", "DayRange"]}, 1, {"Continuous", 1}, {
"Discrete", 1}, 1, {
ResamplingMethod -> {"Interpolation", InterpolationOrder -> 1},
HolidayCalendar -> {"UnitedStates", "NYSE"}}}, True, 314.1];
La serie temporal ha sido muestreada regularmente en los días hábiles.
In[3]:=
ts["MinimumTimeIncrement"]
Out[3]=
In[4]:=
RegularlySampledQ[ts]
Out[4]=
El cambio fraccional acumulativo es calculado usando la siguiente fórmula.
In[5]:=
fun := (Exp[Accumulate[Log[# + 1]]] - 1) &
Aplique la fórmula de cambio fraccional acumulativo a la serie temporal de precios de acciones.
In[6]:=
res = fun[ts];
muestre la entrada completa de Wolfram Language
Out[7]=