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PostPosted: Mon Aug 27, 2012 12:02 pm 
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Joined: Sat Feb 25, 2012 8:51 pm
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Hi,

I’m wondering has anyone who is willing share their experience in building a correlation matrix for instruments (FX crosses in my instance) using OQ’s Timeseries Correlation function?

Something like this: http://www.forexticket.co.uk/en/tools/01-01-correlation

Thanks and regards,

drolles


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PostPosted: Mon Aug 27, 2012 12:24 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
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Hi,

I don't think there should be any problem. The only thing to remember is that data points in your time series should be synchronnized (i.e. have identical timestamps).

Regards,
Anton


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PostPosted: Mon Aug 27, 2012 5:13 pm 
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Anton,

Thanks very much for the reply.

I’ve been thinking about this during the day. I can please bounce my musings of you? I’ve that that if you want to input bar data (which should be synced, right?) then the Correlation method within the TimeSeries class will not accept that as a expecting an object of TimeSeries to be passed in? Secondly, you can’t control the look back (i.e. the number of periods) that correlation should be calculated across?

Thanks and regards,

drolles


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PostPosted: Thu Aug 30, 2012 11:28 am 
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We will add datetime interval in GetCorrelation. Meanwhile you can simply remove all entries before / after datetimes you are interested in.


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PostPosted: Thu Aug 30, 2012 11:30 am 
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And indeed you could make a TimeSeries of close values out of BarSeries and calculate correlation between series of closes.


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PostPosted: Sat Sep 01, 2012 1:06 pm 
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Anton,

Thanks very much for your series of ideas.

These are all good ones.

Just to check, I think you are suggesting that I could just create a TimeSeries object from a BarSeries object (of closes), taking the values I need. Let’s say that I want to take the last 100 hours and determine what the correlation was over that period. Then I strip down the bar series to that last 100 closes and create a time series out of it?

You made a point earlier about ensuring the series was synced. Are there anyways I can ensure that by using the above method?

As an aside, I’m also wondering here what the literature here says on using Closes vs Log Normal Returns for correlation? Are you aware of the current shared views on this (or anyone else reading the thread)?

Thanks and regards,

drolles


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