In this section, we'll look at statistics using both built-in functions and simple custom ones. Statistics are used a lot throughout quantitative finance. Larger time series are often analyzed, and F# has great support for sequences of numbers; some of its power will be illustrated in the examples mentioned in this section.
Aggregated statistics is all about statistics on aggregated data such as sequences of numbers collected from measurements. It's useful to know the average value in such a collection; this tells us where the values are centered. The
max values are also useful to determine the extremes in the collection.
In F#, the
Seq module has this functionality built-in. Let's take a look at ...