=?UTF-8?Q?How_to_calculate_the_rolling_co?=

Community Support
1

Hi All

 

I have a table t.

q)t

sym  minute       ri      rm

IBM  09:30:00   0.10  0.05
IBM  09:31:00   0.05  0.03
IBM  09:32:00   0.11  0.05
IBM  09:33:00   0.13  0.02
IBM  09:34:00   0.11  0.04

 

How to calculate the rolling covariance?cov1? and mobile covariance?cov2??

 

cov1?
                0.10 cov 0.05
        0.10 0.05 cov 0.05 0.03
0.10 0.05 0.11 cov 0.05 0.03 0.05
…

 

cov2?
          0.1 cov 0.05 

0.10 0.05 cov 0.05 0.03
0.05 0.11 cov 0.03 0.05
0.11 0.13 cov 0.05 0.02
…

 

Thanks,

 

Sky

2

update cov1: raze (cov).’ flip (ri;rm)@:{x,y} scan til count t from t
update cov2:(cov) .’ flip flip each {(til x)xprev:y}[2;] each (ri;rm) from t

HTH,

Sean

3

Hi Sky,

The formula for moving covariance is mcov:{mavg[x;y*z] - mavg[x;y] * mavg[x;z]}

So for your second example the 2-step moving covariance is

q)update m:mcov[2;ri;rm] from t

sym minute   ri   rm   m

IBM 09:30:00 0.1  0.05 0

IBM 09:31:00 0.05 0.03 0.00025

IBM 09:32:00 0.11 0.05 0.0003

IBM 09:33:00 0.13 0.02 -0.00015

IBM 09:34:00 0.11 0.04 -0.0001

And for your first example you could use:

q)update m:mcov[count t;ri;rm] from t

sym minute   ri   rm   m

IBM 09:30:00 0.1  0.05 0

IBM 09:31:00 0.05 0.03 0.00025

IBM 09:32:00 0.11 0.05 0.0002444444

IBM 09:33:00 0.13 0.02 -6.25e-006

IBM 09:34:00 0.11 0.04 0

Which ties in with your examples above

Thanks,

Kevin

4

Hi Kevin, Thank you very much!
? 2015?3?19??? UTC+8??11:00:26?Kevin Smyth???

Hi Sky,

The formula for moving covariance is mcov:{mavg[x;y*z] - mavg[x;y] * mavg[x;z]}

So for your second example the 2-step moving covariance is

q)update m:mcov[2;ri;rm] from t

sym minute   ri   rm   m

-------------------------------

IBM 09:30:00 0.1  0.05 0

IBM 09:31:00 0.05 0.03 0.00025

IBM 09:32:00 0.11 0.05 0.0003

IBM 09:33:00 0.13 0.02 -0.00015

IBM 09:34:00 0.11 0.04 -0.0001

And for your first example you could use:

q)update m:mcov[count t;ri;rm] from t

sym minute   ri   rm   m

-----------------------------------

IBM 09:30:00 0.1  0.05 0

IBM 09:31:00 0.05 0.03 0.00025

IBM 09:32:00 0.11 0.05 0.0002444444

IBM 09:33:00 0.13 0.02 -6.25e-006

IBM 09:34:00 0.11 0.04 0

Which ties in with your examples above

Thanks,

Kevin

On 19 March 2015 at 03:20, <huangyu…@gmail.com> wrote:

Hi All

 

I have a table t.

q)t

sym  minute       ri      rm

------------------------------–
IBM 09:30:00 0.10 0.05
IBM 09:31:00 0.05 0.03
IBM 09:32:00 0.11 0.05
IBM 09:33:00 0.13 0.02
IBM 09:34:00 0.11 0.04

 

How to calculate the rolling covariance?cov1? and mobile covariance?cov2??

 

cov1?
                0.10 cov 0.05
        0.10 0.05 cov 0.05 0.03
0.10 0.05 0.11 cov 0.05 0.03 0.05
…

 

cov2?
          0.1 cov 0.05 

0.10 0.05 cov 0.05 0.03
0.05 0.11 cov 0.03 0.05
0.11 0.13 cov 0.05 0.02
…

 

Thanks,

 

Sky

–

Submitted via Google Groups

5

Hi sean,Thank you very much!
? 2015?3?19??? UTC+8??8:50:30?Sean O’Hagan???

update cov1: raze (cov).’ flip (ri;rm)@:{x,y} scan til count t from t
update cov2:(cov) .’ flip flip each {(til x)xprev:y}[2;] each (ri;rm) from t

HTH,

Sean

On Thursday, March 19, 2015 at 3:20:17 AM UTC, huangyu...@gmail.com wrote:

Hi All

 

I have a table t.

q)t

sym  minute       ri      rm

------------------------------–
IBM 09:30:00 0.10 0.05
IBM 09:31:00 0.05 0.03
IBM 09:32:00 0.11 0.05
IBM 09:33:00 0.13 0.02
IBM 09:34:00 0.11 0.04

 

How to calculate the rolling covariance?cov1? and mobile covariance?cov2??

 

cov1?
                0.10 cov 0.05
        0.10 0.05 cov 0.05 0.03
0.10 0.05 0.11 cov 0.05 0.03 0.05
…

 

cov2?
          0.1 cov 0.05 

0.10 0.05 cov 0.05 0.03
0.05 0.11 cov 0.03 0.05
0.11 0.13 cov 0.05 0.02
…

 

Thanks,

 

Sky