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next_price
2006 Jan 03
2
For loop gets exponentially slower as dataset gets larger...
...ee vectors are date_, id, and price. The data is ordered (sorted) by code and date_.
(The matrix contains daily prices for several thousand stocks, and has ~2 million “rows”. If a stock did not trade on a particular date, its price is set to “NA”)
I wish to add a fourth vector that is “next_price”. (“Next price” is the current price as long as the current price is not “NA”. If the current price is NA, the “next_price” is the next price that the security with this same ID trades. If the stock does not trade again, “next_price” is set to NA.)
I wrote the following loop to calculate...