You want to use returns, not prices.
Correlations with prices are spurious.
(The extreme example is to think of
a long set of series with inflation --
all the price series will be positively
correlated.)
On 19/02/2010 23:15, Michael Jungle wrote:
One possibility is to do the cross-correlation.
What series shall I apply cross-correlation to? Price or return series?
If I do cross-correlation on two price series, and found some large
correlation numbers,
and then do cross-correlation on two return series, and found no
significant
numbers(almost zero),
What does that mean?