tick2ret (Financial Toolbox)

tick2ret
Incremental return series from a tick price series

Syntax

[RetSeries, RetIntervals] = tick2ret(TickSeries, TickTimes)

Arguments

TickSeries
Number of observations (NUMOBS) by number of assets (NASSETS) matrix of prices of equity assets. First row is oldest observation. Last row is most recent.

TickTimes
(Optional) NUMOBS-by-1 increasing vector of observation times. Times are taken as serial date numbers (day units) or as decimal numbers in arbitrary units (e.g., yearly).

`TickSeries`	Number of observations (`NUMOBS`) by number of assets (`NASSETS`) matrix of prices of equity assets. First row is oldest observation. Last row is most recent.
`TickTimes`	(Optional) `NUMOBS`-by-1 increasing vector of observation times. Times are taken as serial date numbers (day units) or as decimal numbers in arbitrary units (e.g., yearly).

Description
tick2ret computes the asset returns realized between NUMOBS observations of prices of NASSETS assets.

RetSeries is a (NUMOBS-1)-by-NASSETS matrix of incremental return observations. The i'th return is quoted for the period TickTimes(i) to TickTimes(i+1) and is not scaled to a yearly return.

  RetSeries(i) = TickSeries(i+1)/TickSeries(i) - 1

RetIntervals is a (NUMOBS-1)-by-1 vector of interval times between observations. If TickTimes is not specified, all intervals are assumed to have length 1.

Examples
Compute the periodic returns of two stocks observed in the first, second, third, and fourth quarters.

TickSeries = [100 80
              110 90
              115 88
              110 91];

TickTimes = [0
             6
             9
             12];

[RetSeries, RetIntervals] = tick2ret(TickSeries, TickTimes)

RetSeries =
    0.1000    0.1250
    0.0455   -0.0222
   -0.0435    0.0341

RetIntervals =
     6
     3
     3

See Also
ewstats, ret2tick

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