% This programs was wrotten by Shengying Li, 
%                              ph.d. student of Stony Brook University. 
%                              lshengyi@cs.sunysb.edu
% Date of release: May 13, 2004 
%
%    
% Copyright (c) 2004                                                  by Shengying Li
%
% Permission is granted to use and distribute the program for research or educational usage. 
% You can copy or modificate the program as you want, once this permission notice is 
% preserved on all copies. 
%
% Please read the readme file before you use it. 
%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

% Read input file
% load price of 50 stocks
load stock.txt
% load price of indices 
load index.txt

% compute return value to stk and ind
Srow0 = size(stock,1);
Srow = Srow0-1;
Scol = size(stock,2);
Irow = Srow+1;
Icol = size(index,2)+1;

stockreturn = zeros(Srow, Scol);
indexreturn = ones(Irow, Icol);

for i=1:Srow
    for j=1:Scol
	stockreturn(i,j) = stock(i,j)/stock(i+1,j)-1;
     end
end

% Set the title
indexreturn(1,1) = 0;
for j=2:Icol
	indexreturn(1,j)=j-1;
end
for i=2:Irow
     for j=2:Icol
 	indexreturn(i,j) = index(i-1,j-1)/index(i,j-1)-1;
     end
end

%Compute size column by IDSOX-IDLOX
for i=2:Irow
	indexreturn(i,Icol-1)=indexreturn(i,Icol-1)-indexreturn(i,Icol);
end
Icol=Icol-1;

% Initialize the out matrix
Out=zeros(Scol,Icol+1);

for Si=1:Scol
	Y = stockreturn(:,Si); 
	Aold = indexreturn(:,1:Icol);

	Anew = Aold(2:Irow,:);   
	%initial model
	X = Anew\Y;
	Ypredict = Anew*X;
	Ydev = Ypredict-Y;
	R2=1-(std(Ydev)/std(Y))^2;
    	R2adj=1-(1-R2)*(Srow-1)/(Srow-Icol-1-1);
% Fill the out matrix
	for i=1:Icol
		Out(Si,i)=X(i);
	end
	Out(Si, Icol+1)=R2adj;
end

% Output file
save risksimple Out -ascii