fed-policy-cli/src/services/correlation.ts

Macro trading intelligence from Fed policy analysis. Transform economic data into actionable trading insights by analyzing historical Fed policy analogues.

import { getAllData } from './database';
import { lusolve, lup } from 'mathjs';

export interface CorrelationMatrix {
  [seriesA: string]: {
    [seriesB: string]: number;
  };
}

/**
 * Calculates the correlation matrix for a set of economic indicators.
 * @param seriesIds - The FRED series IDs to include in the analysis.
 * @returns A matrix of correlation coefficients.
 */
export async function calculateCorrelationMatrix(seriesIds: string[]): Promise<CorrelationMatrix> {
  const seriesData = await getAllData();
  const matrix: CorrelationMatrix = {};

  // Placeholder for correlation logic
  // In a real implementation, you would use a library like 'mathjs'
  // to perform these calculations.
  for (const seriesA of seriesIds) {
    matrix[seriesA] = {};
    for (const seriesB of seriesIds) {
      // Placeholder value
      matrix[seriesA][seriesB] = Math.random();
    }
  }

  return matrix;
}