leading/lagging correlation analysis

Optuma Forums Feature Requests leading/lagging correlation analysis

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  • #56621
    AvatarJeffrey A.
    • Topics: 2
    • Replies: 4
    • Posts: 6

    Hi, I was reading CMT 3 book and the Gold chapter talks about calculating leading and lagging correlations between markets.

    Example: market X leads/lags market Y by n amount of days..

    Wondering if Optuma might consider something like this?

    Jeff

    #56623
    MathewMathew
    • Topics: 28
    • Replies: 1,244
    • Posts: 1,272

    Hi Jeff,

    I’ve thought a lot about this since doing the courses. I’ve always come back to the question of how to display the results. One way is a variation of the Correlation Grid. The other is like the way we display Autocorrelation – but that causes confusion as it is a display which is independent of the data which is above it.

    I’ll make some time to review this in the new year.

    All the best

    Mathew

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