Fix dependencies and other errors in demo_finance.md

xKDR · Apr 25, 2024 · e40cc4e · e40cc4e
1 parent 23a3c66
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Showing 2 changed files with 5 additions and 2 deletions.
diff --git a/docs/Project.toml b/docs/Project.toml
@@ -6,6 +6,8 @@ MarketData = "945b72a4-3b13-509d-9b46-1525bb5c06de"
 Plots = "91a5bcdd-55d7-5caf-9e0b-520d859cae80"
 RecipesBase = "3cdcf5f2-1ef4-517c-9805-6587b60abb01"
 Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
+Impute = "f7bf1975-0170-51b9-8c5f-a992d46b9575"
+GLM = "38e38edf-8417-5370-95a0-9cbbq8c7f171a"
 TSFrames = "9f90e835-9451-4aaa-bcb1-743a1b8d2f84"
 
 [compat]

diff --git a/docs/src/demo_finance.md b/docs/src/demo_finance.md
@@ -5,7 +5,7 @@
 To load the IBM historical data, we will use the `MarketData.yahoo` function from [MarketData.jl](https://github.com/JuliaQuant/MarketData.jl), which returns the data in the form of a `TimeArray`. We just simply pass this on to the `TSFrame` constructor.
 
 ```@repl e1
-using TSFrames, MarketData, Plots, Statistics, Impute
+using TSFrames, MarketData, Plots, Statistics, Impute, GLM
 ibm_ts = TSFrame(MarketData.yahoo(:IBM))
 ```
 
@@ -145,13 +145,14 @@ within the window.
 ```@repl e1
 sp500 = TSFrame(MarketData.yahoo("^GSPC"));
 sp500_adjclose = TSFrames.subset(sp500, date_from, date_to)[:, ["AdjClose"]]
+ibm_adjclose = ibm[:, [:Index, :AdjClose]]
 
 sp500_ibm = join(sp500_adjclose, ibm_adjclose, jointype=:JoinBoth)
 sp500_ibm_returns = diff(log.(sp500_ibm))
 TSFrames.rename!(sp500_ibm_returns, ["SP500", "IBM"]);
 
 function regress(data)
-    ll = lm(@formula(IBM ~ SP500), data)
+    ll = lm(@formula(SP500 ~ IBM), data)
     co::Real = coef(ll)[coefnames(ll) .== "IBM"][1]
     sd::Real = Statistics.std(residuals(ll))
     return (co, sd)