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Downloading Stock Prices and Plotting Returns Distributions

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Downloading Stock Prices and Plotting Returns Distributions

Introduction

This application

 

• 

   downloads historical stock prices from Yahoo Finance,

• 

   calculates the returns,

• 

   plots the distribution of the returns in a histogram,

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   and overlays a normal distribution with the same mean and standard deviation as the historical data.

 

> 

with(LinearAlgebra); with(Statistics); with(plots)

Ticker, Dates and Frequency

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ticker := "XOM"

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startDay := "25"; startMonth := "07"; startYear := "2010"

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endDay := "25"; endMonth := "02"; endYear := "2014"

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frequency := "d"

Download Historical Stock Quotes and Calculate Returns

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url := cat("http://ichart.finance.yahoo.com/table.csv?s=", ticker, "&a=", startMonth, "&b=", startDay, "&c=", startYear, "&d=", endMonth, "&e=", endDay, "&f=", endYear, "&g=",frequency,"&ignore=.csv")
> 

data := ImportMatrix(url)

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nRows := RowDimension(data)-2

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returns := Vector(nRows, proc (i) options operator, arrow; evalf(ln(data[i+2, 7]/data[i+1, 7])) end proc)

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p1 := Histogram(returns, frequencyscale = relative, color = "SteelBlue", axes = boxed, gridlines)

Plot Histogram and Overlay Normal Distribution

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av := Mean(returns)

HFloat(-6.285999253433331e-4)

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stdev := StandardDeviation(returns)

HFloat(0.011409250478207239)

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n := Normal(av, stdev)

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p2 := DensityPlot(Normal(av, stdev), range = min(returns) .. max(returns))

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display(p1, p2)

> 

``