The correlation tag has no wiki summary.
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156 views
Alternative ways to understand time-varying comovement between two time-series?
I have been looking into ways to better understand how the dependencies/correlations/etc between two time series can vary over time.
I first thought about using a Kalman/particle filter over a ...
4
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90 views
Rolling window Kendall's tau against APARCH(1,1) correlation
Assume you want to forecast the correlation matrix of a stocks' basket (say 15 ~ 20 stocks from different sectors); assume you need to forecast at $T$ days because you will use the forecast ouput with ...
4
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133 views
Taking into account the correlation in Barrier options on a Basket
In a Barrier option (where the contract cancels when the underlying hits the barrier) I succesfully found the way to compute the probability of a single underlying touching the barrier (with constant ...
3
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81 views
Stress testing covariance
Going one level beyond stressed scenarios, to parameters e.g. for a VaR measure: what are the most common approaches for stressing a covariance/correlation matrix, especially taking portfolio exposure ...
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84 views
how to identify similar assets based only on a few price samples
Using quantitative finances techniques on limited information, how might one go about finding similar(highly correlated) assets whose public information is available? The only data offered on a list ...
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79 views
Correlation Sensitivity
Suppose I have 2 stocks $S_{1}$ and $S_{2}$:
\begin{align}
& dS_{1}=rS_{1}dt+\sigma_{1}S_{1}dB_{1}\\
& dS_{2}=rS_{2}dt+\sigma_{2}S_{2}dB_{2}\\
& dB_{1}dB_{2}=\rho dt
\end{align}
Then I ...
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152 views
Lagging Beta Strategy
Came across a method involving pairs in the book Hedge Fund Market Wizard:
Given a Stock(or Collective of instruments)that follows closely to say Dow index with a beta<1(very short term) but ...
