#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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