Hello,
I'm using timeseries data and want to generate a return series. The return is supposed to be calculated on the data point that is at least 3 seconds away from this datapoint. You'll see this in the data example below - so for observation 9, the return is calculated relative to the 4th observation, while the 10th return is calculated as 10th price/9th price-1, since these are the first dates, that are at least 3 seconds apart. I've tried
, but since there are gaps in my timeseries data, the result is incorrect. I've also thought of using
, but my dataset is too large to set up multiple if conditions.
Any pointers towards other commands/workarounds would be appreciated!
Thank you in advance
I'm using timeseries data and want to generate a return series. The return is supposed to be calculated on the data point that is at least 3 seconds away from this datapoint. You'll see this in the data example below - so for observation 9, the return is calculated relative to the 4th observation, while the 10th return is calculated as 10th price/9th price-1, since these are the first dates, that are at least 3 seconds apart. I've tried
Code:
rolling
Code:
cond()
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input double(price return date) .4563140351911763 0 1676192401234 .12123021072046514 0 1676192401456 .015799518412771385 0 1676192401789 .5531145142756151 0 1676192401998 .36208761774438625 0 1676192402234 .4010092064132522 0 1676192402456 .5990130135963275 0 1676192402789 .010658344783998186 0 1676192402998 .48161974610468405 -.1292585284343224 1676192405000 .06049858759734017 -.8743851594818326 1676192410000 .8339152409690928 12.784044786621696 1676192460000 .783335628399825 11.947998614669551 1676192461000 .5320383300504032 -.32080412180761453 1676192465000 end format %tcCCYY-NN-DD_HH:MM:SS.sss date
Thank you in advance