[R-SIG-Finance] Correlation on Tick Data

Matthieu Stigler Matthieu.Stigler at gmail.com
Tue Jul 22 16:14:22 CEST 2008


If ES and YM are time series, you maybe should first test for 
auto-correlation of the series. High auto-correlated series can lead to 
the phenomen called as spurious regression, and then the correlation 
coefficient is "too high".

Hope this helps


Neil Gupta a écrit :
> Hello R users.
> I was using R to calculate correlation of midquote returns on ES and YM. ES
> and YM are highly correlated at close to .97. However when I run the
> correlation on the MQ returns the correlation is close to 0. Should I be
> expecting this or am I doing something wrong? Others have told me this
> should happen, but I do not understand why. If anyone can please explain I
> would really appreciate.
> Many Thanks,
> Neil
> 	[[alternative HTML version deleted]]
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