financial-statistics is a JavaScript library that provides various financial statistics and analysis utilities, including traditional statistical metrics, time series analysis, technical analysis, Monte Carlo simulations, and functionalities for decentralized finance (DeFi) applications.
You can install Financial Statistics using npm:
npm install financial-statistics
## Usage
const fin = require('financial-statistics');
// Calculate average
const avg = fin.calculateAverage([1, 2, 3, 4, 5]);
console.log(avg); // 3
// Calculate annual percentage yield (APY)
const apy = fin.calculateAPY(0.05, 12); // 5% interest rate, compounded monthly
console.log(apy); // 0.051...
// Calculate simple moving average (SMA)
const data = [10, 15, 20, 25, 30];
const sma = fin.calculateSMA(data, 3); // Window size of 3
console.log(sma); // [15, 20, 25]
// Run Monte Carlo simulation
const initialValue = 1000;
const numSimulations = 1000;
const numPeriods = 10;
const generator = () => 1 + 0.05 * Math.random(); // 5% random fluctuation
const simulations = fin.runMonteCarloSimulation(initialValue, numSimulations, numPeriods, generator);
console.log(simulations.length); // 1000
// Log messages
fin.logger.info('Application started');
API
Statistical Metrics
calculateAverage(data): Calculate the average of a data series
calculateMedian(data): Calculate the median of a data series
calculateStandardDeviation(data): Calculate the standard deviation of a data series
calculateVariance(data): Calculate the variance of a data series
calculateCorrelationCoefficient(dataX, dataY): Calculate the correlation coefficient between two data series
Mathematical Utilities
calculateDeterminant(matrix): Calculate the determinant of a matrix
calculateDerivative(fn, x): Calculate the derivative of a function at a point
linearScaleData(data, minRange, maxRange): Linearly scale data
Decentralized Finance (DeFi)
calculateAPY(interestRate, compoundFrequency): Calculate the annual percentage yield
calculateLoanInterest(principal, interestRate, loanTerm): Calculate loan interest
getStablecoinPrice(symbol): Get the current price of a stablecoin
calculateLiquidityProviderEarnings(liquidityTokens, totalLiquidity, totalFees): Calculate earnings for a liquidity provider
Time Series Analysis
calculateSMA(data, window): Calculate the simple moving average
calculateEMA(data, window): Calculate the exponential moving average
Technical Analysis
calculateRSI(data, window): Calculate the Relative Strength Index
Monte Carlo Simulation
runMonteCarloSimulation(initialValue, numSimulations, numPeriods, generator): Run a Monte Carlo simulation
calculateConfidenceInterval(data, confidence): Calculate the confidence interval
Logging
logger: Winston logger instance for logging messages at different levels
Contributing
Suggestions, bug reports, and pull requests are welcome. Please check the contributing guide first.
License
MIT