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Multiple time period correlations

Okay, we now have three time periods covered for every stock in our database – 200 days, 100 days and 30 days. It took a little while to get things optimized so that we could re-run the calculations every days. Remember – we have well over 8000 stocks in the database, so that is (8000*8000)/2 = 32 million correlations that need to be calculated for each time period.

What the heck is the deal with IBM? It seems odd that no other stock has a positive correlation over 200 days that is above .80. It seems that MSFT is also weird – nothing over .80 for 30, 100 or 200 days.

This entry was posted on Sunday, April 16th, 2006 at 9:02 pm and is filed under Markets. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

  • Dear Eric,

    I'll certainly add you to our blogroll (http://marketmovers.blogspot.com/) - yours is an informative site. You can look at some of the tools that other blogs have used to enhance their content. Free TA stock reports and EOD scans: http://www.trade-ideas.com/StockInfo/; Samples of real-time alerts in a banner or ticker form: http://www.trade-ideas.com/Banners.html

    A list of some the blogs using this data: http://blog.fallondpicks.com/; http://downtowntrader.blogspot.com/; http://nasdaqtrader.blogspot.com/

    Send me an email if we can do something.

    Best, D
  • Administrator
    Hey David!

    I run them every morning (when I remember - I need to create a cron job). It was taking forever when I was depending on SQL, so I just wrote it all in Java and do everything in memory. Nice and quick on a 64-bit AMD processor and 64-bit Linux!

    You guys at trade-ideas seem to be doing quite a good job - plus you work with real-time data, right?

    Let me know if you come up with any good ideas for complimenting each others' sites - I am trying to find the path least tread.
  • How often are your 32 million correlations calculated? Pretty impressive. We keep correlations to sectors and broad market indicators for all stocks. http://www.trade-ideas.com/StockInfo/AAPL/APPLE...

    Let me know if there's a complimentary or peer-based association that's possible.
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