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For the same reason you can't meaningfully measure covariance/correlation using price of individual assets...correlation (covariance by extension) represents the comovement in deviations from individual means. You can't represent that if the mean continues to change (ie, series considered aren't stationary). Same goes for multiple assets as is represented ...


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If you assume that a financial asset price has a change that is a wiener process then you can view the future value of that asset as the initial value plus the sum of the independent daily changes (for equity or returns based then you would need log version of this): $$ S_t = S_0 + \sum \Delta S_i $$ where $\Delta S_i = S_i - S_{i-1} $ is a wiener process. ...


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