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acorrtst.cpp File Reference

#include <assert.h>
#include <math.h>
#include <stdio.h>
#include "yahooTS.h"
#include "autocorr.h"

Go to the source code of this file.

Functions
int	main ()
Variables
const size_t	days = 10
const size_t	N = 1024 + days
double	v [N]
double	returns [N-days]

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Detailed Description

Test for the autocorelation function

Definition in file acorrtst.cpp.

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Function Documentation

main ( )

Definition at line 36 of file acorrtst.cpp. { autocorr acor(0.01, 256); autocorr::acorrInfo info; size_t i; yahooTS ts( "..\\data\\equities\\" ); size_t n = N; if (ts.getTS( "aa.csv", v, n, yahooTS::Close )) { assert( n == N ); for (i = days; i < N; i++) { // returns[i-1] = (v[i] - v[i-1])/v[i-1]; returns[i-days] = log(v[i]) - log(v[i-days]); // printf("%9.6f\n", returns[i-days] ); } acor.ACF( returns, N, info ); const size_t len = info.points().size(); for (i = 0; i < len; i++) { printf("%7.4f\n", (info.points())[i] ); } // printf("slope = %7.4f, slopeErr = %7.4f\n", info.slope(), info.slopeErr()); } else { fprintf(stderr, "main: getTS failed\n"); } return 0; }

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Variable Documentation

const size_t N = 1024 + days

Definition at line 1049 of file hursttst.cpp.

const size_t days = 10

Definition at line 16 of file acorrtst.cpp.

double returns [static]

Definition at line 24 of file acorrtst.cpp.

double v [static]

Definition at line 23 of file acorrtst.cpp.

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