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The Excel file named 4 1 NDEX - 1 MIN - 0 5 0 1 2 0 0 7 - 0 2 2 7 2

The Excel file named 41NDEX-1MIN-05012007-02272009 posted in Canvas has minute-based daily prices of the four Index Exchange Traded Funds (ETFs) DIA (Dow Jones Industrial Average), IWM (Russell 2000), QQQ (NASDAQ-100) and SPY ( S&P 500) between May 1,2007 and February 27,2009. Note that a trading day starts at 9:30AM and ends at 4:00PM and there are 390 trading minutes in a day. From our perspective, the sampling interval of the date in a given day is T=lmin . We may also look at the daily data as a vector
of dimension NP =391 covering samples from 9:00AM to 4:00PM in one minute
sampling resolution. Hence, you may consider each column of data (for each ticker symbol, e.g. DIA) as a rectangular matrix where each day is a column vector of dimension NP =391 and the number of days in data corresponds to the K rows of that rectangular data matrix.
A) Let's focus on each ETF (each data column) independently and create its daily vector representation in a NP =391 columns x K rows (days) matrix" form. Do it for all four columns of data. Now, you have the four NpxK price
data matrices for DIA, IWM, QQQ and SPY. Note that the price at 9:00AM is called the opening price and at 4:00PM is called the closing price of the ETF (stock).

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