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Results tagged with correlation
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user 252
A measure of the degree of linear association between a pair of random variables.
5
votes
How do I estimate the joint probability of stock B moving, if stock A moves?
...do you know of any standard
libraries that can calculate the joint
probability of stocks A and B, given a
time series of historical data?
Using R and the LSPM package with the code poste …
- 2,214
3
votes
How to generate a random price series with a specified range and correlation with an actual ...
You could create a rescaled stochastic indicator from your randomly generated, correlated series.
1) use whatever software/methodology you want to create your random series with 0.85 correlation to the …
- 2,214
1
vote
Accepted
How to generate a random price series with a specified range and correlation with an actual ...
Further to my comments to Samik R's answer above, here is the link to my blog post where my attempts to recreate the method linked to in said answer are given.
Edit to include more information per T …
- 2,214