4 ms·
This analysis is interesting, however I have to comments on the methodology: * Same measure Comparing USD/INDEX with BIT/USD is a little bit like comparing a
by zjonsson 13y ago
This analysis is interesting, however I have to comments on the methodology:
* Same measure
Comparing USD/INDEX with BIT/USD is a little bit like comparing apples and oranges, as the underlying measure for each of the time-series is different.
Multiplying BIT/USD with USD/INDEX gives us a time-series that is BIT/INDEX. Subsequently USD/INDEX can be compared with the new BIT/INDEX to get the correlation between USD and BIT with the INDEX basket as a measure.
* Correlation is only relevant for non-integrated series
It's well known that correlation for any unrelated random walks can easily be very high (positive or negative) in a spurious and random manner. The solution here might be to take the take first-difference (geometrical) of both series (de-integrating) and then check the resulting differences for correlations.
- kbenson 13y ago> first-difference of both series (de-integrating) Isn't that just the derivative, in Calculus?
- zjonsson 13y agoFor continuous known functions we would look at the mathematical derivative (using stochastic calculus). For sparse sample data with an unknown derivative, we resort to calculating differences between consecutive numbers.