Date:         Sun, 11 Jul 2004 19:03:11 -0600
Reply-To:     pudding man <pudding_man@MAIL.COM>
Sender:       "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:         pudding man <pudding_man@MAIL.COM>
Subject:      Re: NEED HELP in double summing of cross multiplication..PLS!!!
Comments: To: Marky <marky@NEOSTRADA.PL>
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 <marky@NEOSTRADA.PL>
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 <marky@NEOSTRADA.PL> 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