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(As a quant) when calculating correlations of returns, we use log changes.
by hodder 9y ago
(As a quant) when calculating correlations of returns, we use log changes.
- zebrafish 9y agoRather than smoothing, have you tried looking at the correlations of the residuals?
- Kranar 9y agoAs a fellow quant I wanted to clarify that we use changes of log prices. Your sentence suggests calculating the change in price and then taking the log rather than taking the log of the prices and then calculating the change.
- hodder 9y agoYes. Thanks. My comment was poorly worded.