```Date: Sun, 11 Jul 2004 19:03:11 -0600 Reply-To: pudding man Sender: "SAS(r) Discussion" From: pudding man Subject: Re: NEED HELP in double summing of cross multiplication..PLS!!! Comments: To: Marky Content-Type: text/plain; charset="iso-8859-1" 'Scuse me for barging in ... Like Howard, I didn't fully grasp your problem (still don't). You have intra-day returns on traded equity securities? Are you trying to derive daily returns from the intra-day returns? It may be beneficial to further explain what you're trying to do. As to the mechanics of what you ask, it is less problematical. Suppose that a trading day consisted of 5 hours, a measurement being made at the end of each hour. The following tested code may suggest an approach: data ee; do day = 1 to 2; do hour = 1 to 5; x + 1; output; end; end; run; data ff(keep = day hour xday); array xx(999); do i = 1 by 1 until (last.day); set ee; by day; xx(i) = x; end; do j = 1 to i - 1; do k = j + 1 to i; xday = sum(xday, xx(j) * xx(k)); end; end; put day= hour= xday=; run; Hope it hep's ... Cheers, Puddin' ******************************************************* ***** Puddin' Man **** Pudding_Man-at-mail.com ******** *******************************************************; ----- Original Message ----- From: Marky Date: Sun, 11 Jul 2004 14:56:59 -0700 To: SAS-L@LISTSERV.UGA.EDU Subject: Re: NEED HELP in double summing of cross multiplication..PLS!!! Ok- here is example let's assume that 1 day is divided into 5 observations,so daily cross-multiplications are: Observations: Output : x 1 1*2 + 1*3 + 1*4 + 1*5 + 2 2*3 + 2*4 + 2*5 + 3 3*4 + 3*5 + 4 4*5 = 5 = 85 6 6*7 + 6*8 + 6*9 + 6*10 + 7 7*8 + 7*9 + 7*10 + 8 8*9 + 8*10 + 9 9*10 = 10 =635 and so on. Howard_Schreier@ITA.DOC.GOV (Howard Schreier) wrote in message news:<200407110317.i6B3Hd214519@listserv.cc.uga.edu>... > So you have about 350 trading days (350 x 72 = 25,200). > > Why don't you post a mini example (perhaps 2 days x 4 intervals per day) > and show both the input data and expected results? > > On Sat, 10 Jul 2004 11:28:26 -0700, Marky wrote: > > >Hi Fellows, > > > >I have a problem with following matter: > > > >I have about 25000 observations which are 5-minute returns of certain > >equity (equivalent to 1.5 year). I need to create a formula that > >computes a sum of cross multiplications every 72 (here 72 equals 1 > >day)observations. Formula is as follows: (sum from i=1 to 71)(sum from > >j=i+1 to 72) r(i)*r(j) > > > >where r(i) is return in time i > > > >PLEASE help me with that. I only made a formula that computes sum of > >multiplication over all observations, but it is useless for me ;( > > > >THANKS for help -- ___________________________________________________________ Sign-up for Ads Free at Mail.com http://promo.mail.com/adsfreejump.htm ```

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