Date:         Mon, 12 Jul 2004 16:34:41 -0400
Reply-To:     Howard Schreier <Howard_Schreier@ITA.DOC.GOV>
Sender:       "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:         Howard Schreier <Howard_Schreier@ITA.DOC.GOV>
Subject:      Re: NEED HELP in double summing of cross multiplication..PLS!!!

Or (also tested)

   proc sql;
   create table ff as
    select ee.day, sum(ee.x * cross.x) as xday
     from ee inner join ee as cross
      on ee.day=cross.day
     where ee.hour<cross.hour
     group by ee.day
     order by ee.day
    ;

On Sun, 11 Jul 2004 19:03:11 -0600, pudding man <pudding_man@MAIL.COM>
wrote:

>'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
>--
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