Data Transformation
Transform data, including conversions for constraints, covariance, and holdings
Use functions to transform data, including conversions for constraints, covariance, and holdings.
Functions
abs2active | Convert constraints from absolute to active format |
active2abs | Convert constraints from active to absolute format |
arith2geom | Arithmetic to geometric moments of asset returns |
boxcox | Box-Cox transformation |
corr2cov | Convert standard deviation and correlation to covariance |
cov2corr | Convert covariance to standard deviation and correlation coefficient |
nearcorr | Compute nearest correlation matrix by minimizing Frobenius distance |
covarianceShrinkage | Estimate covariance matrix using shrinkage estimators (Since R2023a) |
covarianceDenoising | Estimate covariance matrix using denoising (Since R2023a) |
geom2arith | Geometric to arithmetic moments of asset returns |
holdings2weights | Portfolio holdings into weights |
movavg | Moving average of a financial time series |
ret2tick | Convert return series to price series |
tick2ret | Convert price series to return series |
dateaxis | Convert serial-date axis labels to calendar-date axis labels |
weights2holdings | Portfolio values and weights into holdings |
Topics
- Returns with Negative Prices
Learn how Financial Toolbox™ functions treat negative prices and how to interpret results involving negative prices.