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I have around 4000 stocks universe and I would like to find a fast way to find the correlated pair. Right now I am pairwise computing each correlation but seem too slow.

I heard there is method called Pearson correlation but I am not very familiar with that. Can anyone please give me some suggestions?

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  • $\begingroup$ Pearson correlation is the correlation that everybody uses, you are already familiar with it. The suggestion I have is to look only at pairs of stocks in the same industry (two oil companies, or two airline stocks) since these are the most likely to have high correlation. $\endgroup$
    – noob2
    Jun 10 at 0:03

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