correlation

D

Darshan

Does anyone know where I can find software or is there a website in which I can calculate the correlations of certain stocks? find stocks with highly correlated pairs?

I'm looking at correlations in terms of percentage obviously.

I know that I should probably be able to do this on excel. Unfortunately I'm a bit of a dinosaur and never really learned excel.

If someone has a top notch program they use I'd be willing to pay them for it...

Please let me know, thank you
 
Quote from Darshan:

Does anyone know where I can find software or is there a website in which I can calculate the correlations of certain stocks? find stocks with highly correlated pairs?

I'm looking at correlations in terms of percentage obviously.

I know that I should probably be able to do this on excel. Unfortunately I'm a bit of a dinosaur and never really learned excel.

If someone has a top notch program they use I'd be willing to pay them for it...

Please let me know, thank you
More...
You shouldn't have to pay too much for it, as data is practically free. You will need a feed, like IB or ToS, and an API. You can set indicators to your specification (ie if correl falls below or rises above X, then buy/sell). You can set 15 min, 1 hr, 4 hr rolling timeframes, etc. There are tons of things you can do, it's just a matter of what you need, and when you want to set the triggers.

I've built something recently that might work for you...if you want to chat offline, feel free to pm me.

Or you can just pay 497 for this: www.pairtradefinder.com
 
Quote from Darshan:

Does anyone know where I can find software or is there a website in which I can calculate the correlations of certain stocks? find stocks with highly correlated pairs?

I'm looking at correlations in terms of percentage obviously.

I know that I should probably be able to do this on excel. Unfortunately I'm a bit of a dinosaur and never really learned excel.

If someone has a top notch program they use I'd be willing to pay them for it...

Please let me know, thank you
More...
I have been thinking of witing a simple website that does this. The problem is not the software, it is the headache of data fees, as essentially I would be redistributing data.

If say Yahoo allowed me to use their data for free to compute the correlation values it would be relatively easy to do this service, assuming it didn't get popular and I would have to have a huge data pipe and servers to handle the load. If you know of a place where I can get free historical data that I can redistribute, let me know and I will write the software. There are probably free ones on the web that do this already though.

I would do it for fun.
 
I remember there used to be one. It even computes and draws the maximum spanning correlation tree, which, though useless, was pretty cool to look at.

The biggest problem you are going to be have with doing that is the specification of time horizon and frequency (correlation from daily, monthly, etc returns). Correlations between two illiquid stocks at short frequency are often biased upwards because of asynchronous pricing.
 
Quote from sjfan:

I remember there used to be one. It even computes and draws the maximum spanning correlation tree, which, though useless, was pretty cool to look at.

The biggest problem you are going to be have with doing that is the specification of time horizon and frequency (correlation from daily, monthly, etc returns). Correlations between two illiquid stocks at short frequency are often biased upwards because of asynchronous pricing.
More...
http://www.market-topology.com/

But it is no longer free.
 
I'm looking for a site, free please where I can view correlation of equities in the same industry so I can pair trade them. For example, would like to know let's say TGT vs WMT or a MGM vs LVS on how the correlate over time and such....any ideas greatly appreciated...???

As well would like to see dividend history on these as to how they add or detract from the correlation???
 
Quote from Darshan:

Does anyone know where I can find software or is there a website in which I can calculate the correlations of certain stocks? find stocks with highly correlated pairs?

I'm looking at correlations in terms of percentage obviously.

I know that I should probably be able to do this on excel. Unfortunately I'm a bit of a dinosaur and never really learned excel.

If someone has a top notch program they use I'd be willing to pay them for it...

Please let me know, thank you
More...

no need to pay..save some for trading..

:)

http://67.220.225.70/~gumm5981/spearman-correlation.htm

http://67.220.225.70/~gumm5981/perfect-correlation.htm

http://67.220.225.70/~gumm5981/correlation2.htm

http://67.220.225.70/~gumm5981/correlation-stuff.htm

probably exactly what you are looking for(second page)-


http://67.220.225.70/~gumm5981/PairsTrading.htm
 
Quote from trader_404:

I'll second www.market-topology.com . but argue that it IS free, just have to make a username/password.

You can enter any stock, and it finds the most closely correlated stocks/ETFs sorted by R-squared.
More...
Wow, it was not free last time I checked. Thanks for correcting me.
 
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