Hi,

Thanks for article.

Does anyone know how to do this in mySQL? - I have some data in a mySQL DB and would love to view it.

I was able to convert the function but the rest exceeds my limited ability

DELIMITER $$

CREATE FUNCTION `fnGetCorrelation`(TickerA VARCHAR(10),

TickerB VARCHAR(10),

DateStart DATE,

DateEnd DATE

) RETURNS decimal(22,6)

BEGIN

DECLARE MeanA, MeanB, Corr, Return_Corr NUMERIC(22,6);

-- Get Mean Value for Ticker A

SELECT AVG(Price) INTO MeanA FROM Prices

WHERE ticker = TickerA

AND Date >= DateStart

AND Date <= IFNULL(DateEnd, CURDATE())

GROUP BY ticker;

-- Get Mean Value for Ticker B

SELECT AVG(Price) INTO MeanB FROM Prices

WHERE ticker = TickerB

AND Date >= DateStart

AND Date <= IFNULL(DateEnd, CURDATE())

GROUP BY ticker;

-- Calculate Correlation Coefficient

SELECT

(AVG((prcA.Price-MeanA)*(prcB.Price-MeanB)))/(STDDEV_POP(prcA.Price)*STDDEV_POP(prcB.Price)) into CORR

FROM Prices prcA JOIN Prices prcB

ON prcA.Date = prcB.Date

WHERE prcA.ticker = TickerA

AND prcB.TICKER = TickerB

AND prcA.Date >= DateStart

AND prcA.Date <= DateEnd;

-- SET Return_Corr = Corr;

RETURN(Corr);

END

Can anybody help?