For the example you describe, you can simply use the tools in base, but
unfortunately I don't think our reader can handle continental style decimal
comma yet. However, that is easy to search/replace with a dot. Something
like
cov(diff(log(readdlm("prices.csv", ';'))))
should then do the job.
The is support for date and time in base as well. Depending on what you are
interested in doing with the data you might be intersted in
https://github.com/JuliaQuant
and what https://github.com/milktrader has done.
One thing we are missing though is more formalized statistical tools for
time series analysis. In Stats.jl there is support for computing
autocorreclations and partial autocorrelations but not much beyond that. I
saw a GARCH package at some point, but it was very limited.
Den onsdag den 22. juli 2015 kl. 09.08.52 UTC-4 skrev Danny Zuko:
>
> I am new to Julia and would like to try it to deal with financial time
> series. I read there has been a good bunch discussions within the Julia
> community about it (for example, some interesting ones on indexing).
>
> As a test, I would like to read some 100MB .csv file containing prices
> into an array (or data-frame?), computing their logarithmic returns and
> eventually compute a covariance matrix.
>
> Something that in R I might do like:
>
> ## Read CSV file and store contents in a dataframe:
> ## - fields are separated by semicolons,
> ## - first line contains column names,
> ## - first column contains row names,
> ## - decimal separator is a comma.
> prices <- read.table ("prices.csv",
> sep = ";", header = TRUE, row.names = 1, dec = ",")
>
> ## Convert prices into logarithmic returns by applying the diff function on
> ## the log of the prices:
> returns <- apply (log (prices), 2, diff)
>
> ## Compute the covariance matrix for the logarithmic returns:
> returns_covariance <- cov (returns, use = "pairwise.complete.obs")
>
> As far as the current state of the art is concerned, which are the latest
> packages that are considered a reference at the moment? Is it TimeSeries.jl?
>
