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).

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

tbl2bond

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