Correlations

A financial correlations library for elixir, fully compatible with the elixir Decimal library.

Example frontend usage

https://github.com/GunnarPDX/Nice-Charts

Installation

This package can be installed by adding correlations to your list of dependencies in mix.exs:

def deps do
  [
    {:correlations, "~> 0.1.1"},
  ]
end

Docs

HexDocs: https://hexdocs.pm/correlations

Functions

• portfolio_correlations_picker(stocks, portfolio_size)

• portfolio_correlations_list(stocks, portfolio_size)

• correlation_matrix(stocks)

• json_correlation_matrix(stocks)

• correlation(x, y)

Usage

iex> alias Correlations, as: C

iex> stocks = [
    aapl: [124.400002, 121.099998, 121.190002, 120.709999, 119.019997],
    nvda: [569.039978, 569.929993, 563.809998, 558.799988, 552.460022],
    tsla: [442.299988, 446.649994, 461.299988, 448.880005, 439.670013],
    amzn: [3442.929932, 3443.629883, 3363.709961, 3338.649902, 3272.709961]
  ]

iex> decimal_stocks = for {k, v} <- stocks, do: {k, decimalize(v)}

iex> C.portfolio_correlations_picker(decimal_stocks, 2)
{Decimal<0.104192125>, [:aapl, :tsla]}