tag:blogger.com,1999:blog-897456774486153841.post4244399347145878086..comments2024-03-28T06:07:36.391-07:00Comments on VIX and More: Correlation IdeationBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger8125tag:blogger.com,1999:blog-897456774486153841.post-19747550839456901712013-02-09T05:36:56.115-08:002013-02-09T05:36:56.115-08:00It's really a great and useful piece of info. ...It's really a great and useful piece of info. I am happy that you simply shared this helpful info with us. Please keep us informed like this. Thank you for sharing.<br /><i>Take a look at my weblog</i> <b><a href="http://www.24-7pr.com/press/safedietsthatwork-com-announces-list-of-safest-products.html" rel="nofollow">diets that work for women</a></b>Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-74903728345065830112007-11-10T10:49:00.000-08:002007-11-10T10:49:00.000-08:00Thanks for the clarifications, Xavier. These are ...Thanks for the clarifications, Xavier. These are very helpful.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-47621964282930613502007-11-09T22:22:00.000-08:002007-11-09T22:22:00.000-08:00At MarketTopology, time series are de-trended, i.e...At MarketTopology, time series are de-trended, i.e. correlations are computed on daily fluctuations (1 year) and not absolute price.<BR/><BR/>The result is that the measure is not influenced by the overall trends, only short term cooperative movements are highlighted.<BR/><BR/>Hoping this is helpful information.<BR/><BR/>XavierAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-11425493737101257162007-10-18T19:28:00.000-07:002007-10-18T19:28:00.000-07:00Bill, maybe it was just not enough tests of the da...Bill, maybe it was just not enough tests of the data, but I was unimpressed with the select SPDR correlation tracker. It seems to defy economic and market intuition. I tried a couple of large cap duopolies as a test: KO & PEP, and CL & PG.<BR/><BR/>Market topology "got it right" while PEP and PG where nowhere to be found on the SPDR list. <BR/><BR/>Also unimpressed that big losers like BZH are (surprise, surprise) uncorrelated with big winners like ISRG. That's not correlation trading, that's just good stock picking. Maybe I don't understand the point of the exercise.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-79996288695916948282007-10-18T06:10:00.000-07:002007-10-18T06:10:00.000-07:00Regarding autocorrelation bias, while I'm far from...Regarding autocorrelation bias, while I'm far from expert on the subject, it would not surprise me.<BR/><BR/>Thanks for the insight.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-6041299014300967682007-10-18T01:53:00.000-07:002007-10-18T01:53:00.000-07:00I have a feeling there is a huge autocorrelation b...I have a feeling there is a huge autocorrelation bias ?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-56255894265423852452007-10-15T21:32:00.000-07:002007-10-15T21:32:00.000-07:00All good points, anon.For the record, I ran DRYS t...All good points, anon.<BR/><BR/>For the record, I ran DRYS through MarketTopology.com and had considerably better results. <BR/><BR/>I am a fan of that particular site and suggest that you play around with that one if you are looking for correlation data that is easier to filter and manipulate. Of course, you'd need to run through a bunch of data points to come up with some scientific basis for a top choice, but my personal experience has been best with MarketTopology. (Unfortunately, I don't see any indication of the time period they use for the correlation data, but that doesn't water down my recommendation.) <BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-2678805579372889172007-10-15T20:51:00.000-07:002007-10-15T20:51:00.000-07:00Unfortunately correlations only measure consistenc...Unfortunately correlations only measure consistency in directions of two graphs (scatterplots) over a certain period- unspecified here. Therefore if two stocks have gone up (or down) consistently over a period their correlations will be high, although they may be totally unrelated substantially, and there may be major inconsistencies over time. I tried out Sector Spider Correlation tracker with DRYS, and the results can be seen at http://stockcharts.com/charts/performance/perf.html?drys,flr,exm,cam,fti,hhd,jec,lfc,rimm,gxc<BR/><BR/>DRYS and EXM are in the same sector, but the remainder is not. Performance is also highly variable, as you can see on the perfchart.Anonymousnoreply@blogger.com