Tag Archives: correlation

Quantopian on auto correlation and auto regressive model

Quantopian on auto correlation and auto regressive model

I see more of this more and more on my Bloomberg News app scans

https://www.quantopian.com/posts/quantopian-lecture-series-autocorrelation-and-autoregressive-ar-models

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Correlation between equities and bonds-past and future

The correlation between equities and bonds – past and future

The correlation between equity and bond markets is of vital importance to asset allocators; for risk control and portfolio construction, for assessing the market outlook, and for building models of how markets work.

https://www.savvyinvestor.net/blog/equities-bonds-correlation-past-and-future

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7 questions on correlation and regression

7 questions on correlation and regression

This is becoming a set of popular ways to analyse the markets using math

7 most commonly asked questions on Correlation

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#SP500 three month #Correlation highest since August 2013

three month highest since August 2013

[igp-video src=”” poster=”https://quantlabs.net/blog/wp-content/uploads/2015/10/SP500-three-month-Correlation-highest-since-August-2013.jpg” size=”large”]
#SP500 three month #Correlation highest since August 2013

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Math FInance definition of correlation for trading

Math FInance definition of correlation for trading

This was a definition with example from the Managing Director

I just got this from NYC Contact so thanks to him:

I keep meeting people who believe they understand correlation. And I keep meeting more people who prove that they don’t. If you trade a correlation swap following the standard market practice, the correlation between two assets is calculated based on the continuous (or log-) returns. I have recently asked a trick question on the MathFinance Conference what would be the correlation of two underlyings asset 1 and asset 2, where the time series of four observed prices are as follows:
Asset 1: 120, 130, 140, 150
Asset 2: 80, 70, 60, 50
The question is that if you know this is going to happen with the two assets will you go long or short prevailing correlation, and if so what is your fair correlation for a zero-cost correlation swap?
The answer is stunning:
Correlation of prices: -100%
Correlation of relative returns: 99.2%
Correlation of continuous returns: 99.1%
Correlation of absolute returns: undefined
The correlation that trades in a standard correlation swap is the one using continuous returns, and it turns out that the two assets are nearly perfectly positively correlated although one goes up and the other goes down. So watch out what you are doing when trading correlation.
I would like to thank Rolf Poulsen for posting back a spreadsheet with my example and a few extensions: UwesCorrelationExample.xlsx

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Correlation between wage growth and consumption growth at its highest ever #consumption #salary #jobs #correlation

Correlation between wage growth and consumption growth at its highest ever

[igp-video src=”” poster=”https://quantlabs.net/blog/wp-content/uploads/2015/03/Correlation-between-wage-growth-and-consumption-growth-at-its-highest-ever-consumption-salary-jobs-c.jpg” size=”large”]
Correlation between wage growth and consumption growth at its highest ever #consumption #salary #jobs #correlation

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US stocks and commodity correlation is the highest while US stocks and gold correlation is the lowest

US stocks and commodity correlation is the highest while US stocks and gold correlation is the lowest

Who knows but maybe commodities is a good short term play?

#Stocks #commodity #Gold #trading #correlation

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Is volatility, correlation, and quantopedia.com your primary goals to focus on for 2014 quant trading and profit?

Is volatility, correlation, and quantopedia.com your primary goals to focus on  for 2014 quant trading and profit?

This was posed byt my question at:

Has anyone ever tried this Quant Mechanics in trading. | Quant Academy Trading Ideas | Forum – See more at: http://quantlabs.net/academy/forum/quant-academy-forum/has-anyone-ever-tried-this-quant-mechanics-in-trading/#sthash.SHLk0fk2.dpuf
I got this response from a newsletter subscriber:

Hi Bryan

I am thinking to study the strategies at quantpedia.com.
Into studying an extensive number of books too but mastering correlation and volatility is a key goal before hoping for alpha.

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How to forecast correlation of 2 assets and draw it on a graph for quant analytics

How to forecast correlation of 2 assets and draw it on a graph for quant analytics

Is it possible to forecast correlation of 2 assets if we already have forecasted vol of them.
How to draw it on a graph? like volatility graph, by giving a moving average (like 30 days) and an interval (like daily, weekly and monthly return)?

 

Hi, I believe you can use co-integration techniques.

 

Wilmott’s book rubbish the idea of forecasting correlation as far to unreliable.

 

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Dec Poll: What is the correlation between the S&P500 and the Dow Jones?

Dec Poll: What is the correlation between the S&P500 and the Dow Jones?

(i) Greater than 0.8; (ii) 0.5 to 0.8; (iii) 0 to 0.5; (iv) Negative; (v) Insufficient Information.

Dec Poll: What is the correlation between the S&P500 and the Dow Jones? (i) Greater than 0.8; (ii) 0.5 to 0.8; (iii) 0 to 0.5; (iv) Negative; (v) Insufficient Information.
Please vote at: http://www.statmanadvisors.com.
Last month’s Poll Results on Volatility and Explanation:http://www.statmanadvisors.com/Poll_Nov11.html

 

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(v) Insufficient. Correlation for what period?

 

 

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