Hello. I am new to the list thanks for accepting my question. I am trying to run the attached code, directly from the book in the title. It simply calculates correlation of returns of the stock listed in the spreadsheets. could it be that the numPY library is not being recognized on my system for some reason? I installed the 32 bit version of python/numpy. This is to preserve compatibility with another application that will trigger the code. I am on Windows 7 64 bit Home Edition, however. Thanks for any suggestions. -Dinesh
#!/usr/bin/python
import numpy
from pylab import *
bhp = numpy.loadtxt('BHP.csv', delimiter=',', usecols=(6,), unpack=True)
bhp_returns = numpy.diff(bhp) / bhp[ : -1]
vale = numpy.loadtxt('VALE.csv', delimiter=',', usecols=(6,), unpack=True)
vale_returns = numpy.diff(vale) / vale[ : -1]
covariance = numpy.cov(bhp_returns, vale_returns)
print "Covariance diagonal", covariance.diagonal()
print "Covariance trace", covariance.trace()
print covariance/ (bhp_returns.std() * vale_returns.std())
print "Correlation coefficient", numpy.corrcoef(bhp_returns, vale_returns)
difference = bhp - vale
avg = numpy.mean(difference)
dev = numpy.std(difference)
print "Out of sync", numpy.abs(difference[-1] - avg) > 2 * dev
t = numpy.arange(len(bhp_returns))
plot(t, bhp_returns, lw=1)
plot(t, vale_returns, lw=2)
show()
BHP.csv
Description: MS-Excel spreadsheet
VALE.csv
Description: MS-Excel spreadsheet
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