Cumulative Fractional Change
Compute the cumulative fractional change for the SBUX stock price for 2015 from the corresponding time series of fractional change of SBUX stock price.
show complete Wolfram Language input
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];
The time series is regularly sampled on business days.
In[3]:=
ts["MinimumTimeIncrement"]
Out[3]=
In[4]:=
RegularlySampledQ[ts]
Out[4]=
The cumulative fractional change is calculated using the following formula.
In[5]:=
fun := (Exp[Accumulate[Log[# + 1]]] - 1) &
Apply the cumulative fractional change formula to the stock time series.
In[6]:=
res = fun[ts];
show complete Wolfram Language input
Out[7]=