[R-SIG-Finance] Correlation on Tick Data

[markleeds at verizon.net]

  Thanks for pointing that out. I understand the linearity ( you're 
saying i think that correlation will only pick up linear relation ) but 
why normality ?


On Tue, Jul 22, 2008 at 12:29 PM, BOB SAMOHYL wrote:

> I would go farther than just stationarity and include normality, and 
> linearity in the relation, three suppositions for the correlation 
> coefficient that are rarely examined.
> Robert Wayne Samohyl, Ph.D. www.qualimetria.ufsc.br
> fones: 55-48-3721-7001 University 55-48-9608-5056 celular  ��
>
> --- Em ter, 22/7/08, markleeds at verizon.net <markleeds at verizon.net> 
> escreveu:
> De: markleeds at verizon.net <markleeds at verizon.net>
> Assunto: Re: [R-SIG-Finance] Correlation on Tick Data
> Para: "Matthieu Stigler" <Matthieu.Stigler at gmail.com>
> Cc: r-sig-finance at stat.math.ethz.ch
> Data: Ter��a-feira, 22 de Julho de 2008, 12:38
>
> just to elaborate a bit more on what matt said.
>
> you need to make sure you time series are stationary before you 
> correlate them.  usually one does this by using a unit root test but, 
> in your case, since you are dealing with currencies, as long as you 
> are dealing with the returns streamsand not the prices themselves, 
> there's really no need to use the unit root test.  returns should be 
> stationary ( in general ).   if you're dealing with prices, then 
> correlations
> don't make sense because prices aren't ( in general ),
> or atleast i've never seen prices that were.
>
>
>
> On Tue, Jul 22, 2008 at 10:14 AM, Matthieu Stigler wrote:
>
>> Hello
>>
>> 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
>>
>> Mat
>>
>> Neil Gupta a ��crit :
>>> 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]]
>>>
>>> _______________________________________________
>>> R-SIG-Finance at stat.math.ethz.ch mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only.
>>> -- If you want to post, subscribe first.
>>>
>>
>> _______________________________________________
>> R-SIG-Finance at stat.math.ethz.ch mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only.
>> -- If you want to post, subscribe first.
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>
>
> [[elided Yahoo spam]]
> ovo com a sua cara @ymail.com ou @rocketmail.com.
>
> 	[[alternative HTML version deleted]]
>
>
>
>      ------------------------------
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.