Seeking Alpha

Michael Bommarito » Comments » Single Comment

  • Capitalization Coupling: Major Indices at Correlation Highs [View article]
    Middle of exams here so I don't have time for any stochastic volatility or adaptive models, but feel free to provide any results you find doing so. Here are some more extensive results just under this simple model with non-parametrics for comparison.

    Colums:
    Pearson/Sign Pearson/Spearman Rank/Sign Spearman Rank

    Rows:
    1st: Pearson correlation between return & each correlation
    2nd: Spearman rank correlation between return & each correlation

    Results:

    0-Day (no lag)
    ans =
    -0.0279 -0.0283 -0.0377 -0.0268
    -0.0006 -0.0555 -0.0439 -0.0555

    1-Day
    ans =
    0.0115 0.0147 0.0236 0.0145
    0.0261 0.0224 0.0368 0.0269

    2-Day
    ans =
    0.0010 0.0035 0.0004 0.0029
    0.0015 0.0074 -0.0087 0.0057
    Apr 15 15:38 pm |Rating: 0 0
All Comments by Michael Bommarito »
Comments by Ticker
Michael Bommarito's
Comments Stats
63 comments
Rating: 0 (0 - 0 )