Cross Correlation

An Analyst is often interested in whether one security leads or lags another security. We can use Cross Correlation to achieve this. The process is very similar to Auto Correlation (looking for correlation offsets within the one security) but Cross Correlation repeats the correlation process on ever increasing offsets of a second security. The result is a plot which shows all the correlation values from lagging through to leading.

This is a companion discussion topic for the original entry at