https://github.com/gunnarpdx/correlations

📊 A financial correlations library for Elixir, fully compatible with the elixir Decimal library.
https://github.com/gunnarpdx/correlations

correlation-matrix portfolio-correlation portfolio-deviation sharpe-ratio sortino

Last synced: over 1 year ago
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📊 A financial correlations library for Elixir, fully compatible with the elixir Decimal library.

• Host: GitHub
• URL: https://github.com/gunnarpdx/correlations
• Owner: GunnarPDX
• License: mit
• Created: 2020-10-29T05:01:39.000Z (over 5 years ago)
• Default Branch: master
• Last Pushed: 2020-11-02T21:51:37.000Z (over 5 years ago)
• Last Synced: 2025-01-29T13:22:24.861Z (over 1 year ago)
• Topics: correlation-matrix, portfolio-correlation, portfolio-deviation, sharpe-ratio, sortino
• Language: Elixir
• Homepage:
• Size: 77.1 KB
• Stars: 10
• Watchers: 2
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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[![MIT License](https://img.shields.io/apm/l/atomic-design-ui.svg?)](https://github.com/tterb/atomic-design-ui/blob/master/LICENSEs)

[![Hex.pm Version](http://img.shields.io/hexpm/v/correlations.svg?style=flat)](https://hex.pm/packages/correlations)

# Correlations

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

![correlation matrix img](https://github.com/GunnarPDX/correlation-matrix-chart/blob/master/correlation-matrix.png?raw=true)

### 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`:

```elixir

def deps do

  [

    {:correlations, "~> 0.1.1"},

  ]

end

```

## Docs

#### HexDocs: [https://hexdocs.pm/correlations](https://hexdocs.pm/correlations/Correlations.html#functions)

## Functions

- `portfolio_correlations_picker(stocks, portfolio_size)`

- `portfolio_correlations_list(stocks, portfolio_size)`

- `correlation_matrix(stocks)`

- `json_correlation_matrix(stocks)`

- `correlation(x, y)`

## Usage

```elixir

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]}

```