Using FIRST_VALUE to find the first occurrence of a stock price in a dataset

20 Oct 2023

Finance

When working with financial data, it is often important to find the first occurrence of a specific stock price within a dataset. In such cases, the FIRST_VALUE function can be a valuable tool to use. In this blog post, we will explore how to use the FIRST_VALUE function to find the first occurrence of a stock price in a dataset.

Understanding the FIRST_VALUE function

The FIRST_VALUE function is a window function in SQL that returns the value of a specific column from the first row of a window frame. It allows us to retrieve the first occurrence of a stock price within a dataset by ordering the data based on a specific column, such as the date or timestamp.

Syntax of FIRST_VALUE

The syntax of the FIRST_VALUE function is as follows:

FIRST_VALUE(expression) OVER (
    [PARTITION BY partition_expression, ... ]
    [ORDER BY sort_expression [ASC | DESC], ... ]
    [ROWS { UNBOUNDED PRECEDING | value PRECEDING | CURRENT ROW | value FOLLOWING | UNBOUNDED FOLLOWING }]
)

expression: The column or expression that we want to retrieve the first value of.
PARTITION BY: Optional clause that divides the result set into partitions.
ORDER BY: Specifies the order in which the rows are evaluated within the window frame.
ROWS: Defines the boundaries of the window frame.

Using FIRST_VALUE to find the first occurrence of a stock price

Let’s assume we have a dataset containing stock prices for different companies over a period of time. We want to find the first occurrence of the stock price for a specific company. Here’s an example query to achieve that:

SELECT 
    company,
    date,
    stock_price,
    FIRST_VALUE(stock_price) OVER (
        PARTITION BY company 
        ORDER BY date ASC 
        ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW
    ) AS first_stock_price
FROM
    stock_data

In this query, we partition the data by the company column and order it by the date column in ascending order. We then use the FIRST_VALUE function to retrieve the first stock price within each partition.

The result will include the company, date, stock price, and the first_stock_price column which contains the first occurrence of the stock price for each company.

Conclusion

The FIRST_VALUE function in SQL is a powerful tool when it comes to finding the first occurrence of a specific stock price within a dataset. By using the appropriate partition and ordering clauses, we can easily retrieve the desired result. Keep in mind that the FIRST_VALUE function is specific to SQL, so make sure to check the documentation and syntax for the particular database you are using.

References:

#Finance #SQL