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

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