TSLOGRETURNS(1) TSLOGRETURNS(1) NAME tslogreturns - take the logarithmic returns of a time series SYNOPSIS tslogreturns [-p] [-t] [-v] [filename] DESCRIPTION Tslogreturns is for taking the logarithmic returns of of a time series. The value of a sample in the time series is divided by the value of the previous sample in the time series, and the logarithm of the quotient is printed to stdout. The form of the best fit is e^(at) for exponential least squares fit, or x^(t) for power least squares fit, or 2^(bt) for binary fit. The input file structure is a text file consisting of records, in tem- poral order, one record per time series sample. Blank records are ignored, and comment records are signified by a '#' character as the first non white space character in the record. Data records must con- tain at least one field, which is the data value of the sample, but may contain many fields-if the record contains many fields, then the first field is regarded as the sample's time, and the last field as the sam- ple's value at that time. Note: The derivation for exponential least squares fit is: 1) y[t] = exp (k1 + k2t) 2) s[t] = log (exp (k1 + k2t) / exp (k1 + k2 (t - 1))) = log (exp (k1 + k2t - k1 - k2t + k2)) = log (exp (k2)) = k2 Note: The derivation for power least squares fit is: 1) compute the least squares fit, as above 2) exp (xt) = pow (a, t) 3) xt = log (pow (a, t)) = t log (a) 4) x = log (a) 5) a = exp (x) Note: The derivation for the binary least squares fit is: 1) compute the least squares fit, as above 2) exp (xt) = pow (2, kt) 3) pow (a, t) = pow (2, kt) 4) a = pow (2, k) 5) k * log (2) = log (a) 6) k = log (a) / log (2) OPTIONS -p Output only the returns formula of the form, e^(at) = x^(t) = 2^(qt). -t Sample's time will be included in the output time series. -v Print the version and copyright banner of the program. filename Input filename. WARNINGS There is little or no provision for handling numerical exceptions. SEE ALSO tsderivative(1), tshcalc(1), tshurst(1), tsintegrate(1), tslogre- turns(1), tslsq(1), tsnormal(1), tsshannon(1), tsblack(1), tsbrown- ian(1), tsdlogistic(1), tsfBm(1), tsfractional(1), tsgaussian(1), tsin- tegers(1), tslogistic(1), tspink(1), tsunfairfractional(1), tswhite(1), tscoin(1), tsunfairbrownian(1), tsfraction(1), tsshannonmax(1), tschangewager(1), tssample(1), tsrms(1), tscoins(1), tsavg(1), tsXsquared(1), tsstockwager(1), tsshannonwindow(1), tsmath(1), tsavg- window(1), tspole(1), tsdft(1), tsbinomial(1), tsdeterministic(1), tsnumber(1), tsrmswindow(1), tsshannonstock(1), tsmarket(1), tsstock(1), tsstatest(1), tsunfraction(1), tsshannonaggregate(1), tsin- stant(1), tsshannonvolume(1), tsstocks(1), tsshannonfundamental(1), tstrade(1), tstradesim(1), tsrunlength(1), tsunshannon(1), tsroot- mean(1), tsrunmagnitude(1), tskurtosis(1), tskurtosiswindow(1), tsroot- meanscale(1), tsscalederivative(1), tsgain(1), tsgainwindow(1) tscauchy(1), tslognormal(1), tskalman(1), tsroot(1), tslaplacian(1) DIAGNOSTICS Error messages for incompatible arguments, failure to allocate memory, inaccessible files, and opening and closing files. AUTHORS ---------------------------------------------------------------------- A license is hereby granted to reproduce this software source code and to create executable versions from this source code for personal, non-commercial use. The copyright notice included with the software must be maintained in all copies produced. THIS PROGRAM IS PROVIDED "AS IS". THE AUTHOR PROVIDES NO WARRANTIES WHATSOEVER, EXPRESSED OR IMPLIED, INCLUDING WARRANTIES OF MERCHANTABILITY, TITLE, OR FITNESS FOR ANY PARTICULAR PURPOSE. THE AUTHOR DOES NOT WARRANT THAT USE OF THIS PROGRAM DOES NOT INFRINGE THE INTELLECTUAL PROPERTY RIGHTS OF ANY THIRD PARTY IN ANY COUNTRY. Copyright (c) 1994-2006, John Conover, All Rights Reserved. Comments and/or bug reports should be addressed to: john@email.johncon.com (John Conover) ---------------------------------------------------------------------- January 17, 2006 TSLOGRETURNS(1)