From my computational finance class today, a function that computes (log)mean and (log)stdev for the last 20 years of a stock:
#lang racket (require net/url (planet williams/science/statistics)) (define (ticker->url t) (format "http://ichart.finance.yahoo.com/table.csv?s=~a&a=04&b=24&c=1990&d=04&e=24&f=2010&g=d&ignore=.csv"; t)) (define (pair-from-ticker ticker) (let* ([prices (map (lambda (l) (string->number (seventh (regexp-split #rx"," l)))) (rest (port->lines (get-pure-port (string->url (ticker->url ticker))))))] [logdiffs (list->vector (for/list ([p1 (in-list (rest prices))] [p2 (in-list prices)]) (log (/ p2 p1))))]) (vector (standard-deviation logdiffs) (mean logdiffs)))) (map pair-from-ticker '("T" "IBM")) ... bummer about the long url. I'm about to combine this with a web-scraper to get the last 20 years of data for every member of the S&P that's been around for 20 years, but that *really* won't fit in the box. John
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