The correlation tag has no wiki summary.
9
votes
1answer
714 views
What are the advantages / disadvantages of the ANTICOR algorithm?
The algorithm is introduced in the paper, Can We Learn to Beat the Best Stock.
The obvious advantage is superior risk-adjusted returns (if you can actually achieve them). Transaction costs and ...
13
votes
3answers
2k views
Time-series similarity measures
Suppose I have two time series $X$ and $Y$ of stock prices. How do I measure the "similarity" of $X$ and $Y$?
(I'm being deliberately vague as I don't have a particular application, and I'm curious ...
13
votes
3answers
4k views
Correlation between prices or returns?
If you are interested in determining whether there is a correlation between the Federal Reserve Balance Sheet and PPI, would you calculate the correlation between values (prices) or period-to-period ...
2
votes
0answers
242 views
How to calculate correlations(COT report) in R ? [closed]
First thing i want to do is load data(.csv) into R. The data i am concentrating are the COT reports. Want to load a single column into R and calculate the correlation with the proper instrument.
