Correlations (correlations v0.1.1)

Documentation for Correlations.

Link to this section Summary

Types

coefficient()

decimal()

exponent()

json()

sign()

t()

Functions

correlation(x, y)

Correlation

Finds the correlation coefficient between two lists of decimals

correlation_matrix(stocks)

Correlation Matrix

Creates a correlation matrix from a list of products

json_correlation_matrix(stocks)

JSON Correlation Matrix

returns matrix data in JSON format. Ex frontend usage: (Link)[https://github.com/GunnarPDX/correlation-matrix-chart]

portfolio_correlations_list(stocks, portfolio_size)

Portfolio Correlations List

Creates a list of portfolio combinations with correlation coefficients

portfolio_correlations_picker(stocks, portfolio_size)

Portfolio Correlations Picker

Picks the optimal portfolio combination with lowest correlation coefficient

Link to this section Types

coefficient()

Specs

coefficient() :: non_neg_integer() | :NaN | :inf

decimal()

Specs

decimal() :: t() | integer() | String.t()

exponent()

Specs

exponent() :: integer()

json()

Specs

json() :: String.t()

sign()

Specs

sign() :: 1 | -1

t()

Specs

t() :: %Decimal{coef: coefficient(), exp: exponent(), sign: sign()}

Link to this section Functions

correlation(x, y)

Specs

correlation([decimal()], [decimal()]) :: decimal()

Correlation

Finds the correlation coefficient between two lists of decimals

Examples

iex> list1 = [#Decimal<124.400002>, #Decimal<121.099998>, ...]
...

iex> list2 = [#Decimal<569.039978>, #Decimal<569.929993>, ...]
...

iex> correlation(list1, list2)
#Decimal<0.809616345>

correlation_matrix(stocks)

Specs

correlation_matrix([{atom(), [decimal()]}]) :: [[{atom(), atom(), decimal()}]]

correlation_matrix([{atom(), [decimal()]}]) :: json()

Correlation Matrix

Creates a correlation matrix from a list of products

Examples

iex> stocks = [aapl: [#Decimal<124.400002>, #Decimal<121.099998>, ...], nvda: [#Decimal<552.460022>, ...], ... ]
...

iex> correlation_matrix(stocks)
[
  [{:aapl, :nvda, #Decimal<0.809616347>},{:aapl, :tsla, #Decimal<0.104192125>},{:aapl, :amzn, #Decimal<0.674977695>}],
  [{:nvda, :tsla, #Decimal<0.198672188>}, {:nvda, :amzn, #Decimal<0.867990063>}],
  [{:tsla, :amzn, #Decimal<0.236184044>}],
]

json_correlation_matrix(stocks)

JSON Correlation Matrix

returns matrix data in JSON format. Ex frontend usage: (Link)[https://github.com/GunnarPDX/correlation-matrix-chart]

portfolio_correlations_list(stocks, portfolio_size)

Specs

portfolio_correlations_list([{atom(), [decimal()]}], integer()) :: [
  {decimal(), [atom()]}
]

Portfolio Correlations List

Creates a list of portfolio combinations with correlation coefficients

Examples

iex> stocks = [aapl: [#Decimal<124.400002>, #Decimal<121.099998>, ...], nvda: [#Decimal<552.460022>, ...], ... ]
...

iex> size = 2
2

iex> portfolio_correlations_list(stocks, portfolio_size)
[
  {#Decimal<0.809616345>, [:aapl, :nvda]},
  {#Decimal<0.104192125>, [:aapl, :tsla]},
  {#Decimal<0.674977695>, [:aapl, :amzn]},
  {#Decimal<0.198672188>, [:nvda, :tsla]},
  {#Decimal<0.867990065>, [:amzn, :nvda]},
  {#Decimal<0.236184044>, [:amzn, :tsla]}
]

portfolio_correlations_picker(stocks, portfolio_size)

Specs

portfolio_correlations_picker([{atom(), [decimal()]}], integer()) ::
  {decimal(), [atom()]}

Portfolio Correlations Picker

Picks the optimal portfolio combination with lowest correlation coefficient

Examples

iex> stocks = [aapl: [#Decimal<124.400002>, #Decimal<121.099998>, ...], nvda: [#Decimal<552.460022>, ...], ... ]
...

iex> size = 2
2

iex> portfolio_correlations_picker(stocks, portfolio_size)
{#Decimal<0.104192125>, [:aapl, :tsla]}