Wolfram言語

時系列の処理

累積価格変化率

2015年のスターバックス (SBUX)の累積的な価格変化を,SBUX株価の対応する価格変化の時系列から計算する.

完全なWolfram言語入力を表示する
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 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{"UnitedStates", "NYSE"}}}, True, 314.1];

この時系列は,営業日に定期的にサンプルされる.

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

累積価格変化率は次の式を使って計算される.

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

株価の時系列に累積価格変化の公式を適用する.

In[6]:=
Click for copyable input
res = fun[ts];
完全なWolfram言語入力を表示する
In[7]:=
Click for copyable input
DateListPlot[{ts, res}, PlotTheme -> "Detailed", PlotLegends -> {"fractional change", "calculated cumulative fractional change "}]
Out[7]=

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