filter

Linear filtering

filter is not recommended. Use timetable instead. For more information, see Convert Financial Time Series Objects fints to Timetables.

Syntax

NewFts = filter(b,a,OldFts)

Description

NewFts = filter(b,a,OldFts) applies filters a and b on a whole financial time series object with a filter specification.

The filter is a “Direct Form II Transposed” implementation of the standard difference equation. NewFts is a financial time series object containing the same data series (names) as the input OldFts.

Examples

Apply Linear Filtering

1. Create a fints object.

   dates_and_times = (now:now+5)'

   dates_and_times =
   
      1.0e+05 *
   
       7.3840
       7.3840
       7.3840
       7.3841
       7.3841
       7.3841
   

    tsobj = fints(dates_and_times, randn(6,1))

   Warning: FINTS is not recommended. Use TIMETABLE instead. 
   For more information, see Convert Financial Time Series Objects (fints) to Timetables. 
   > In fints (line 169) 

   tsobj = 
    
       desc:  (none)
       freq:  Unknown (0)
   
       {'dates:  (6)'}    {'times:  (6)'}    {'series1:  (6)'}
       {'03-Sep-2021'}    {'17:10'      }    {[       1.4193]}
       {'04-Sep-2021'}    {'17:10'      }    {[       0.2916]}
       {'05-Sep-2021'}    {'17:10'      }    {[       0.1978]}
       {'06-Sep-2021'}    {'17:10'      }    {[       1.5877]}
       {'07-Sep-2021'}    {'17:10'      }    {[      -0.8045]}
       {'08-Sep-2021'}    {'17:10'      }    {[       0.6966]}

2. Apply linear filters to tsobj.

   b = 1;
   a = [1 -0.2];
   NewFts = filter(b, a, tsobj)

   Warning: FINTS is not recommended. Use TIMETABLE instead. For more information, 
   see Convert Financial Time Series Objects (fints) to Timetables. 
   > In fints/filter (line 22) 
    
   NewFts = 
    
       desc:  FILTERed 
       freq:  Unknown (0)
   
       {'dates:  (6)'}    {'times:  (6)'}    {'series1:  (6)'}
       {'04-May-2022'}    {'15:17'      }    {[      -0.4336]}
       {'05-May-2022'}    {'15:17'      }    {[       0.2559]}
       {'06-May-2022'}    {'15:17'      }    {[       3.6296]}
       {'07-May-2022'}    {'15:17'      }    {[       3.4954]}
       {'08-May-2022'}    {'15:17'      }    {[      -0.6508]}
       {'09-May-2022'}    {'15:17'      }    {[       2.9048]}

Input Arguments

a — Filter

numeric

Filter, specified as a scalar or vector.

Data Types: double

b — Filter

vector

Filter, specified as a scalar or vector.

Data Types: double

OldFts — Financial time series object

fints object

Financial time series object, specified as a fints object.

Data Types: object

Output Arguments

NewFts — Filtered financial time series object

object

Filtered financial time series object, returned as an updated financial time series object.

Version History

Introduced before R2006a