Lag correlation analysis

Posted by on Sep 20, 2009 in Featured

StockFusion Studio includes the powerful lag correlation matrix for discovery of symbol dependencies. It calculates cross correlation of selected symbol with other symbols over a range of time lags. If strong correlation exists, then correlated symbol can serve as a sort of predictor.

For example, we see that EKK for some reason correlates with EVO on lag 16. This means that if EVO has some price change, it is 42% likely that EKK will have very same price change in 16 trading days after that. Similar dependencies should exist intraday also.

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