Correlation on Tick Data
Hello If ES and YM are time series, you maybe should first test for auto-correlation of the series. High auto-correlated series can lead to the phenomen called as spurious regression, and then the correlation coefficient is "too high". Hope this helps Mat Neil Gupta a ?crit :
Hello R users. I was using R to calculate correlation of midquote returns on ES and YM. ES and YM are highly correlated at close to .97. However when I run the correlation on the MQ returns the correlation is close to 0. Should I be expecting this or am I doing something wrong? Others have told me this should happen, but I do not understand why. If anyone can please explain I would really appreciate. Many Thanks, Neil [[alternative HTML version deleted]]
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