topic Computing Standard Deviation and Correlation for different time intervals in SAS Programming

Computing Standard Deviation and Correlation for different time intervals

AhmetHakan — Wed, 03 Feb 2021 12:01:01 GMT

I am a new SAS user and need to complete the task asap. I would appreciate any help.

So, I have a transaction level data with time and price. I need to do the followings:

1. I should compute the return for different intervals (for example, 5-second return, 10-second return)?

1. Given that I have return for each transaction, I should compute the standard deviation of returns for different time intervals (for example, 5 seconds, 10 seconds)?

I would really appreciate it if you could help me with this.

Re: Computing Standard Deviation and Correlation for different time intervals

PaigeMiller — Wed, 03 Feb 2021 12:05:40 GMT

Please show us a portion of the data and the desired output.

Please provide the data according to these instructions: https://blogs.sas.com/content/sastraining/2016/03/11/jedi-sas-tricks-data-to-data-step-macro/ and not as an attachment or screen capture.

Re: Computing Standard Deviation and Correlation for different time intervals

Ksharp — Wed, 03 Feb 2021 13:15:53 GMT

https://communities.sas.com/t5/SAS-Programming/Computing-10-second-price-difference/td-p/716368