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22 lines
959 B
R
22 lines
959 B
R
# Goal:
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# A stock is traded on 2 exchanges.
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# Price data is missing at random on both exchanges owing to non-trading.
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# We want to make a single price time-series utilising information
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# from both exchanges. I.e., missing data for exchange 1 will
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# be replaced by information for exchange 2 (if observed).
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# Let's create some example data for the problem.
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e1 <- runif(15) # Prices on exchange 1
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e2 <- e1 + 0.05*rnorm(15) # Prices on exchange 2.
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cbind(e1, e2)
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# Blow away 5 points from each at random.
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e1[sample(1:15, 5)] <- NA
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e2[sample(1:15, 5)] <- NA
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cbind(e1, e2)
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# Now how do we reconstruct a time-series that tries to utilise both?
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combined <- e1 # Do use the more liquid exchange here.
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missing <- is.na(combined)
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combined[missing] <- e2[missing] # if it's also missing, I don't care.
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cbind(e1, e2, combined)
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# There you are. |