First blood: Visualizing Correlations

To start things off, here is a post I wrote a week ago about a task I had working at CPPIB: Visualizing Correlations.

…correlations in finance are difficult to estimate. If you take all the historical data you can get your hands on, you might be missing out on some recent correlation drifts. If you take too little, you are subjected to estimation error. The problem went as follows: 5 assets, 5 different ways of calculating correlation (varying time horizons and weight structures), and 1 “target” correlation matrix; the objective is to quickly spot when live correlations deviate too much from the target.

Read the full post at http://david.ma/blog/?p=24

Advertisements
Leave a comment

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: