Copyright 2011 - 2019 Jon Danielsson. This code is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version. This code is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. The GNU General Public License is available at: https://www.gnu.org/licenses/.

Last updated June 2018

```
x = 10 # assign x the value 10
print(x) # print x
```

Last updated June 2018

```
x = 10 # assign x the value 10
println(x) # print x
## println() puts next output on new line, while print() doesn't
```

Last updated June 2018

```
y = c(1,3,5,7,9) # create vector using c()
print(y)
print(y[3]) # calling 3rd element (R indices start at 1)
print(dim(y)) # gives NULL since y is a vector, not a matrix
print(length(y)) # as expected, y has length 5
v = matrix(nrow=2,ncol=3) # fill a 2 x 3 matrix with NaN values (default)
print(dim(v)) # as expected, v is size (2,3)
w = matrix(c(1,2,3),nrow=6,ncol=3) # repeats matrix twice by rows, thrice by columns
print(w)
s = 1:10 # s is a list of integers from 1 to 10 inclusive
print(s)
```

Last updated June 2018

```
y = [1,3,5,7,9] # lists in square brackets are stored as arrays
println(y)
println(y[3]) # calling 3rd element (Julia indices start at 1)
println(size(y)) # size of y
println(length(y)) # as expected, y has length 5
v = fill!(Array{Float64}(2,3),NaN) # 2x3 Float64 matrix of NaNs
println(v) # Julia prints matrices in a single line
println(size(v)) # as expected, v is size (2,3)
w = repmat([1,2,3], 2, 3) # repeats matrix twice by rows, thrice by columns
println(w)
s = 1:10 # s is an sequence which one can loop across
println(collect(s)) # return sequence elements as an array
```

Last updated June 2018

```
## There are many data sources for financial data, for instance
## Yahoo Finance, AlphaVantage and Quandl. However, some of the
## free data sources have numerous issues with accuracy and
## handling of missing data, so only CSV importing is shown here.
##
## For csv data, one can use read.csv to read it
##
## Example:
## data = read.csv('Ch1aprices.csv', header=TRUE, sep=',')
## one can use the zoo() function from the package zoo
## to turn the data into a timeseries (see Listing 1.1/1.2)
```

Last updated June 2018

```
## There are many data sources for financial data, for instance
## Yahoo Finance, AlphaVantage and Quandl. However, some of the
## free data sources have numerous issues with accuracy and
## handling of missing data, so only CSV importing is shown here.
##
## For csv data, one can use the package CSV to read it
##
## Example:
## using CSV;
## data = CSV.read("data.csv", nullable = false)
## nullable = false avoids type problems involving NullableArray types
```

Last updated June 2018

```
y=matrix(c(3.1,4.15,9))
sum(y) # sum of all elements of y
prod(y) # product of all elements of y
max(y) # maximum value of y
min(y) # minimum value of y
range(y) # min, max value of y
mean(y) # arithmetic mean
median(y) # median
var(y) # variance
cov(y) # covar matrix = variance for single vector
cor(y) # corr matrix = [1] for single vector
sort(y) # sorting in ascending order
log(y) # natural log
```

Last updated June 2018

```
y = [3.14,15,9.26,5]
println("sum: ", sum(y)) # return sum of all elements of y
println("product: ", prod(y)) # return product of all elements of y
println("max: ", maximum(y)) # return maximum value of y
println("min: ", minimum(y)) # return minimum value of y
println("mean: ", mean(y)) # arithmetic mean
println("median: ", median(y)) # median
println("variance: ", var(y)) # variance
println("cov_matrix: ", cov(y)) # covar matrix = variance for single vector
println("cor_matrix: ", cor(y)) # corr matrix = [1] for single vector
println(sort(y)) # sorts y in ascending order
println(log.(y)) # natural log, note . denotes elementwise operation
```

Last updated June 2018

```
library(moments)
mean(y) # mean
var(y) # variance
sd(y) # unbiased standard deviation, by default
skewness(y) # skewness
kurtosis(y) # kurtosis
```

Last updated June 2018

```
using StatsBase;
println("mean: ", mean(y)) # mean
println("variance: ", var(y)) # variance
println("std dev: ", std(y)) # unbiased standard deviation
println("skewness: ", skewness(y)) # skewness
println("kurtosis: ", kurtosis(y)) # EXCESS kurtosis (note the different default)
```

Last updated June 2018

```
z = matrix(c(1,2,3,4),2,2) # z is a 2 x 2 matrix
x = matrix(c(1,2),1,2) # x is a 1 x 2 matrix
## Note: z * x is undefined since the two matrices are not conformable
z %*% t(x) # this evaluates to a 2 x 1 matrix
rbind(z,x) # "stacking" z and x vertically
cbind(z,t(x)) # "stacking z and x' horizontally
## Note: dimensions must match along the combining axis
```

Last updated June 2018

```
z = Matrix([[1 2];[3 4]]) # z is a 2 x 2 matrix
x = Matrix([1 2]) # x is a 1 x 2 matrix
## Note: z * x is undefined since the two matrices are not conformable
println(z * x') # this evaluates to a 2 x 1 matrix
b = vcat(z,x) # "stacking" z and x vertically
c = hcat(z,x') # "stacking" z and x' horizontally
## Note: dimensions must match along the combining axis
```

Last updated June 2018

```
q = seq(from = -3, to = 3, length = 7) # specify a set of values
p = seq(from = 0.1, to = 0.9, length = 9) # specify a set of probabilities
qnorm(p, mean = 0, sd = 1) # element-wise inverse Normal quantile
pt(q, df = 4) # element-wise cdf under Student-t(4)
dchisq(q, df = 2) # element-wise pdf under Chisq(2)
## Similar syntax for other distributions
## q for quantile, p for cdf, d for pdf
## followed by the abbreviation of the distribution
## One can also obtain pseudorandom samples from distributions
x = rt(100, df = 5) # Sampling 100 times from TDist with 5 df
y = rnorm(50, mean = 0, sd = 1) # Sampling 50 times from a standard normal
## Given data, we obtain MLE estimates of distribution parameters with package MASS:
library(MASS)
res = fitdistr(x, densfun = "normal") # Fitting x to normal dist
print(res)
```

Last updated June 2018

```
## Julia has a wide range of functions contained in the package Distributions.jl
## Vectorized versions of the functions are used here as they are relevant for FRF
using Distributions;
q = collect((-3:1:3)) # specify a set of values
p = collect((0.1:0.1:0.9)) # specify a set of probabilities
println(quantile.(Normal(0,1),p)) # element-wise inverse Normal quantile
println(cdf.(TDist(4), q)) # element-wise cdf calculation under Student-t(4)
println(pdf.(Chisq(2), q)) # element-wise pdf calculation under Chisq(2)
## Similar syntax for other dists, e.g. Bernoulli(p), Binomial(n,p), Poisson(λ)
## For full list of supported distributions, see Distributions.jl documentation
## One can also obtain pseudorandom samples from distributions using rand()
x = rand(TDist(5), 100) # Sampling 100 times from TDist with 5 df
y = rand(Normal(0,1), 50) # Sampling 50 times from a standard normal
## Given data, we obtain MLE estimates of parameters with fit_mle():
fit_mle(Normal, x) # Fitting x to normal dist
## Some distributions like the Student-t cannot be fitted yet (as of June 2018)
## Supported dists: https://juliastats.github.io/Distributions.jl/latest/fit.html#Applicable-distributions-1
```

Last updated June 2018

```
library(tseries)
x = rt(500, df = 5) # Create hypothetical dataset x
jarque.bera.test(x) # Jarque-Bera test for normality
Box.test(x, lag = 20, type = c("Ljung-Box")) # Ljung-Box test for serial correlation
```

Last updated June 2018

```
srand(100)
x = rand(TDist(5), 500) # Create hypothetical dataset x
## We use the package HypothesisTests
using HypothesisTests;
println(JarqueBeraTest(x)) # Jarque-Bera test for normality
println(LjungBoxTest(x,20)) # Ljung-Box test for serial correlation
```

Last updated June 2018

```
x = rt(60, df = 5) # Create hypothetical dataset x
par(mfrow=c(1,2), pty='s')
acf(x,20) # autocorrelation for lags 1:20
pacf(x,20) # partial autocorrelation for lags 1:20
```

Last updated June 2018

```
srand(100)
x = rand(TDist(5), 60) # Create hypothetical dataset x
using Plots, StatsBase; # refer to Listing 0.11 for Plots.jl
acf = autocor(x, 1:20) # autocorrelation for lags 1:20
pacf = autocor(x, 1:20) # partial autocorrelation for lags 1:20
plot(bar(acf), bar(pacf)) # plotting the ACF/PACF using Plots.jl
```

Last updated June 2018

```
## For loops
for (i in 3:7) # iterates through [3,4,5,6,7]
print(i^2)
## If-else loops
X = 10
if (X %% 3 == 0) {
print("X is a multiple of 3")
} else {
print("X is not a multiple of 3")
}
## Functions (example: a simple excess kurtosis function)
excess_kurtosis = function(x, excess = 3){ # note: excess optional, default=3
m4 = mean((x-mean(x))^4)
excess_kurt = m4/(sd(x)^4) - excess
excess_kurt
}
x = rt(60, df = 5) # Create hypothetical dataset x
excess_kurtosis(x)
```

Last updated June 2018

```
## We demonstrate how loops and functions work in Julia with some examples
## Main differences from Python
## 1) No semicolons on the first line of loops/functions
## 2) insert "end" after the last line of loops/functions
## 3) Note: difference in range(.) function between Python and Julia (see below)
## For loops
for i in range(3,5) # NOTE: range(start,n) unusual!
println(i^2) # where n = number of terms
end # this iterates over [3,4,5,6,7]
## If-else loops
X = 10
if X % 3 == 0
println("X is a multiple of 3")
else
println("X is not a multiple of 3")
end
## Functions (example: a simple excess kurtosis function)
function excess_kurtosis(x, excess = 3)::Float64 # excess optional, default = 3
m4 = mean((x-mean(x)).^4) # element-wise exponentiation .^
excess_kurt = m4/(std(x)^4) - excess
return excess_kurt
end
srand(100)
x = rand(TDist(5), 60) # Create hypothetical dataset x
excess_kurtosis(x)
## Note: we have forced output to be of type Float64 by the type declaration above
```

Last updated June 2018

```
y = rnorm(50, mean = 0, sd = 1)
par(mfrow=c(2,2)) # sets up space for subplots
barplot(y) # bar plot
plot(y,type='l') # line plot
hist(y) # histogram
plot(y) # scatter plot
```

Last updated June 2018

```
## For the simple plots in FRF we use Plots.jl for plotting
## Full documentation at http://docs.juliaplots.org/latest/
## By default, Plots.jl uses the GR backend, sufficient for plots done in FRF
## Alternative backends are also available, e.g. Plotly, PlotlyJS
y = rand(Normal(0,1), 50)
using Plots;
## plot barplot, lineplot, histogram, scatterplot of y
return plot(bar(y), plot(y), histogram(y), scatter(y))
## Wrapping plot(...) around multiple plots allows for automatic subplotting
## This can, of course, be manually specified too
## Plot individual graphs using histogram(y), bar(y) etc. directly
## More examples using GR (plus syntax for customizations) can be found online:
## http://docs.juliaplots.org/latest/examples/gr/
```

Last updated June 2018

```
## Convert objects from one type to another with as.integer() etc
## To check type, use typeof(object)
x = 8.0
print(typeof(x))
x = as.integer(x)
print(typeof(x))
```

Last updated June 2018

```
## 1) To convert objects from one type to another, use convert(Type, object)
## To check type, use typeof(object)
x = 8.0
println(typeof(x))
x = convert(Int, 8.0)
println(typeof(x))
## 2) To type Greek letters, type \ + name + Tab in succession
## e.g. \gammaTab gives you γ and \GammaTab gives you Γ
##
## Greek letters are sometimes essential in retrieving parameters from functions
## e.g. res = mle_fit(Normal, x) will return an object res of type Distribution
## with fitted parameters res.μ and res.σ
```