Mudança fracional cumulativa
Calcule a mudança fracional cumulativa do preço das ações SBUX para o ano de 2015 da série temporal correspondente da mudança fracional dos preços das ações SBUX.
mostre o input completo da 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];
A série temporal é amostrada regularmente nos dias úteis.
In[3]:=
ts["MinimumTimeIncrement"]
Out[3]=
In[4]:=
RegularlySampledQ[ts]
Out[4]=
A mudança fracional cumulativa é calculada usando a seguinte fórmula.
In[5]:=
fun := (Exp[Accumulate[Log[# + 1]]] - 1) &
Aplique a fórmula de mudança fracional cumulativa a série temporal dos preços das ações.
In[6]:=
res = fun[ts];
mostre o input completo da Wolfram Language
Out[7]=