SQL Sequence Grid Aggregate Var and Dev Functions

The seq_grid_agg_var() and seq_grid_agg_dev() functions compute the variance and standard deviation for the sample volume blocks.

Following is an example script demonstrating the seq_grid_agg_var() and seq_grid_agg_dev() functions:

 
    SELECT symbol, seq_search(day, 20130101, 20130331) as Q1_13,
        volume@Q1_13 as "Volume_Q1_13",
        seq_grid_agg_var(volume@Q1_13, 7) as "var_Q1_13",
        seq_grid_agg_dev(volume@Q1_13, 7) as "dev_Q1_13"
    FROM Quote WHERE symbol='SYM0';
     
    symbol
    Q1_13{}
    Volume_Q1_13{}
    var_Q1_13{}
    dev_Q1_13{}
    ------------------------------------------------------------------------------
    SYM0
    {20130101, 20130104, 20130106, 20130110, 20130123, 20130125, 20130129,
      20130213, 20130214, 20130216, 20130311, 20130326}
    {335, 808, 45, 402, 732, 48, 805,
      450, 385, 420, 367, 69}
    {96397.387755, 18935.760000}
    {310.479287, 137.607267}
     

Note that the variance and standard deviation values computed for the sample volume blocks can be verified using the following table (built with Microsoft Excel version 2010):

 

Sample script

A sample script to demonstrate this select statement using xSQL can be run from the samples/xsql/scripts/financial directory with the following command:

     
    g 7