日経平均相関計算
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<?php | |
date_default_timezone_set('UTC'); | |
function Parse($file, $shift = 0) { | |
$data = explode("\n", trim(str_replace( | |
["\r\n", "\r"], "\n", file_get_contents($file)))); | |
array_shift($data); | |
$output = []; | |
foreach ($data as $row) { | |
list($date, $value) = explode("\t", $row, 2); | |
$time = strtotime($date); | |
$output[date('Y-m-d', $time + $shift * 24 * 3600)] = floatval($value); | |
} | |
return $output; | |
} | |
$nikkei = Parse('nikkei.txt', -1); | |
$sp = Parse('sp.txt'); | |
$usdjpy = Parse('usdjpy.txt'); | |
$output = []; | |
foreach ($nikkei as $date => $value) { | |
if (!isset($nikkei[$date]) || | |
!isset($sp[$date]) || | |
!isset($usdjpy[$date])) { | |
continue; | |
} | |
$output[] = [ | |
'date' => $date, | |
'nikkei' => $nikkei[$date], | |
'sp' => $sp[$date], | |
'usdjpy' => $usdjpy[$date]]; | |
} | |
$names = ['nikkei', 'sp', 'usdjpy']; | |
$avgs = []; | |
for ($i = 0; $i < count($output); $i++) { | |
$sum = []; | |
for ($j = 3; $j < 10 && isset($output[$i + $j]); $j++) { | |
$result = []; | |
$ratio = sqrt($j); | |
foreach ($names as $name) { | |
$result[$name] = | |
log($output[$i][$name] / $output[$i + $j][$name]) / $ratio; | |
} | |
$sum[''] += 1; | |
foreach ($names as $name1) { | |
$sum[$name1] += $result[$name1]; | |
foreach ($names as $name2) { | |
$sum["$name1.$name2"] += $result[$name1] * $result[$name2]; | |
} | |
} | |
} | |
$output[$i]['sum'] = $sum; | |
} | |
$output = array_values(array_reverse($output)); | |
for ($i = 0; $i < count($output); $i++) { | |
$last = $output[$i > 0 ? ($i - 1) : 0]; | |
$sum = []; | |
for ($j = 0; $j < 60 && isset($output[$i + $j]); $j++) { | |
foreach ($output[$i + $j]['sum'] as $key => $value) { | |
$sum[$key] += $value; | |
} | |
} | |
foreach ($sum as $key => $value) { | |
if ($key === '') { continue; } | |
$sum[$key] /= $sum['']; | |
} | |
echo "{$output[$i]['date']}"; | |
echo "\t"; | |
echo $output[$i]['nikkei']; | |
echo "\t"; | |
echo $output[$i]['usdjpy']; | |
echo "\t"; | |
echo $output[$i]['sp']; | |
echo "\t"; | |
echo ($sum['nikkei.usdjpy'] - $sum['nikkei'] * $sum['usdjpy']) / | |
sqrt(($sum['nikkei.nikkei'] - $sum['nikkei'] * $sum['nikkei']) * | |
($sum['usdjpy.usdjpy'] - $sum['usdjpy'] * $sum['usdjpy'])); | |
echo "\t"; | |
echo ($sum['nikkei.sp'] - $sum['nikkei'] * $sum['sp']) / | |
sqrt(($sum['nikkei.nikkei'] - $sum['nikkei'] * $sum['nikkei']) * | |
($sum['sp.sp'] - $sum['sp'] * $sum['sp'])); | |
echo "\t"; | |
echo ($sum['nikkei.usdjpy'] - $sum['nikkei'] * $sum['usdjpy']) / | |
($sum['usdjpy.usdjpy'] - $sum['usdjpy'] * $sum['usdjpy']); | |
echo "\t"; | |
echo ($sum['nikkei.sp'] - $sum['nikkei'] * $sum['sp']) / | |
($sum['sp.sp'] - $sum['sp'] * $sum['sp']); | |
$output[$i]['nikkei/usdjpy'] = | |
($sum['nikkei.usdjpy'] - $sum['nikkei'] * $sum['usdjpy']) / | |
($sum['usdjpy.usdjpy'] - $sum['usdjpy'] * $sum['usdjpy']); | |
$output[$i]['usdjpy~nikkei'] = | |
$last['usdjpy~nikkei'] + | |
floatval($last['nikkei/usdjpy']) * | |
log($output[$i]['usdjpy'] / $last['usdjpy']); | |
echo "\t"; | |
echo log($output[$i]['nikkei']) - $output[$i]['usdjpy~nikkei']; | |
$output[$i]['nikkei/sp'] = | |
($sum['nikkei.sp'] - $sum['nikkei'] * $sum['sp']) / | |
($sum['sp.sp'] - $sum['sp'] * $sum['sp']); | |
$output[$i]['sp~nikkei'] = | |
$last['sp~nikkei'] + | |
floatval($last['nikkei/sp']) * | |
log($output[$i]['sp'] / $last['sp']); | |
echo "\t"; | |
echo log($output[$i]['nikkei']) - $output[$i]['sp~nikkei']; | |
$output[$i]['sp/nikkei'] = | |
($sum['nikkei.sp'] - $sum['nikkei'] * $sum['sp']) / | |
($sum['nikkei.nikkei'] - $sum['nikkei'] * $sum['nikkei']); | |
$output[$i]['nikkei~sp'] = | |
$last['nikkei~sp'] + | |
floatval($last['sp/nikkei']) * | |
log($output[$i]['nikkei'] / $last['nikkei']); | |
echo "\t"; | |
echo log($output[$i]['sp']) - $output[$i]['nikkei~sp']; | |
echo "\n"; | |
} |
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