Upload correlation.py (#33)

- Upload correlation.py (aaea341736fae4aa54ccf7c880733f4c9873b7da)


Co-authored-by: Peter <phope@users.noreply.huggingface.co>

correlation.py

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+import pandas as pd
+import numpy as np
+import datetime as dt
+import pandas_datareader as pdr
+
+# Read in Stock csv data and convert to have each Ticker as a column.
+df = pd.read_csv('us-shareprices-daily.csv', sep=';')
+stocks = df.pivot(index="Date", columns="Ticker", values="Adj. Close")
+logRet = np.log(stocks/stocks.shift())
+
+# Calculate the Correlation Coefficient for all Stocks
+stocksCorr = logRet.corr()
+
+# Output to csv
+stocksCorr.to_csv (r'correlation_matrix.csv', index = None, header=True)
+
+# Enter path of SimFin Data to convert to format for Calculations
+def convert_simFin(path):
+    df = pd.read_csv(path, sep=';')
+    stocks = df.pivot(index="Date", columns="Ticker", values="Adj. Close")
+    return stocks
+
+# Calculate Log returns of the Formatted Stocks
+def log_of_returns(stocks):
+    log_returns = np.log(stocks/stocks.shift())
+    return log_returns
+
+# Enter Log returns of Stocks to Calculate the Correlation Matrix.
+def correlation_matrix(lr):
+    return lr.corr()
+