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No, it's a specific issue with price series. The correct way to do it is to correlate the return series.
by darawk 8y ago
No, it's a specific issue with price series. The correct way to do it is to correlate the return series.
- merlincorey 8y agoI agree that's a bigger fundamental issue, but I still think that if you take two different arbitrary windows from two time series of pricing data and then adjust the scaling of one to "match" the other, one can "find" many of these "correlations", even within the same pair of time series.
- darawk 8y agoYa, you're right. That is an issue as well, though I think it's a second order one here. His correlation likely disappears if he does it on the returns. But spurious correlations, even done mathematically correctly, abound.