日経平均相関計算

correlation.php

<?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]];
}

for ($i = 0; $i < count($output); $i++) {
  $sum = [];
  for ($j = 3; $j < 60 && isset($output[$i + $j]); $j++) {
    $result = [];
    $ratio = sqrt($j);
    foreach (['nikkei', 'sp', 'usdjpy'] as $name) {
      $result[$name] =
          log($output[$i][$name] / $output[$i + $j][$name]) / $ratio;
    }
    foreach (['nikkei', 'sp', 'usdjpy'] as $name) {
      $sum['nikkei.' . $name] += $result['nikkei'] * $result[$name];
      if ($name != 'nikkei') {
        $sum["$name.$name"] += $result[$name] * $result[$name];
      }
    }
  }
  echo "{$output[$i]['date']}";
  echo "\t{$sum['nikkei.nikkei']}";
  echo "\t{$sum['nikkei.sp']}\t{$sum['sp.sp']}";
  echo "\t{$sum['nikkei.usdjpy']}\t{$sum['usdjpy.usdjpy']}";
  echo "\n";
}