public static void Sample1()
{
InitializeSecurityReturns();
List <SecurityReturns> srList = new List <SecurityReturns> {
goog, gs, msft, spy
};
foreach (SecurityReturns sr in srList)
{
//Statistics are annualized using 256 days per year
double mean = 256 * Moments.Mean(sr.returns);
double vol = 16 * Moments.StandardDeviation(sr.returns);
double skew = Moments.Skewness(sr.returns) / 16;
double exKurt = Moments.ExcessKurtosis(sr.returns) / 256;
Regression regression = new Regression(sr.returns, spy.returns, true, true);
Console.WriteLine("Summary stats for: {0}", sr.tkr);
Console.WriteLine(" mean = {0}", mean.ToString("0.00%"));
Console.WriteLine(" vol = {0}", vol.ToString("0.00%"));
Console.WriteLine(" skew = {0}", skew.ToString("0.00%"));
Console.WriteLine(" exKurt = {0}", exKurt.ToString("0.00%"));
Console.WriteLine(" beta = {0} ({1})", regression.Betas[1].Value.ToString("0.00"), regression.Betas[1].pValue.ToString("0.00%"));
Console.WriteLine(" R^2 = {0}", regression.rSquared.ToString("0.00%"));
Console.WriteLine();
}
Console.ReadLine();
}
