And here the correlation analysis of _correlated_ GBM data
Params: stocks=5, vola=30%, bars_per_day=78 (ie. 5-minute bars), 21 days, and the input correlation matrix and its computed Cholesky decomposition matrix:
Showing only the last 9 observed correlations of the 21st day:
As can be seen, the observed correlations do, to a high degree, match the specified input correlations, as it should be.
Next step is of course: analysis of the observed correlations to find a stock for opening a position, and of course also whether to keep or close currently held stocks in portfolio...
Params: stocks=5, vola=30%, bars_per_day=78 (ie. 5-minute bars), 21 days, and the input correlation matrix and its computed Cholesky decomposition matrix:
Code:
Name=corr rows=5 cols=5:
1.00000 0.50000 0.60000 0.70000 0.80000
0.50000 1.00000 0.90000 0.10000 0.20000
0.60000 0.90000 1.00000 0.30000 0.40000
0.70000 0.10000 0.30000 1.00000 0.50000
0.80000 0.20000 0.40000 0.50000 1.00000
Name=cholesky rows=5 cols=5:
1.00000 0.50000 0.60000 0.70000 0.80000
0.00000 0.86603 0.69282 -0.28868 -0.23094
0.00000 0.00000 0.40000 0.20000 0.20000
0.00000 0.00000 0.00000 0.62183 -0.26803
0.00000 0.00000 0.00000 0.00000 0.44139Showing only the last 9 observed correlations of the 21st day:
Code:
d=21 b=70:
1.00000 0.50157 0.59981 0.67462 0.79127
0.50157 1.00000 0.89812 0.08724 0.19018
0.59981 0.89812 1.00000 0.30203 0.39093
0.67462 0.08724 0.30203 1.00000 0.48392
0.79127 0.19018 0.39093 0.48392 1.00000
d=21 b=71:
1.00000 0.50102 0.59956 0.67523 0.79153
0.50102 1.00000 0.89807 0.08690 0.18993
0.59956 0.89807 1.00000 0.30189 0.39089
0.67523 0.08690 0.30189 1.00000 0.48475
0.79153 0.18993 0.39089 0.48475 1.00000
d=21 b=72:
1.00000 0.50091 0.59946 0.67502 0.79155
0.50091 1.00000 0.89822 0.08619 0.19020
0.59946 0.89822 1.00000 0.30115 0.39098
0.67502 0.08619 0.30115 1.00000 0.48454
0.79155 0.19020 0.39098 0.48454 1.00000
d=21 b=73:
1.00000 0.50080 0.59945 0.67498 0.79153
0.50080 1.00000 0.89773 0.08593 0.18998
0.59945 0.89773 1.00000 0.30147 0.39119
0.67498 0.08593 0.30147 1.00000 0.48472
0.79153 0.18998 0.39119 0.48472 1.00000
d=21 b=74:
1.00000 0.50113 0.59966 0.67516 0.79124
0.50113 1.00000 0.89777 0.08651 0.18984
0.59966 0.89777 1.00000 0.30182 0.39104
0.67516 0.08651 0.30182 1.00000 0.48453
0.79124 0.18984 0.39104 0.48453 1.00000
d=21 b=75:
1.00000 0.50182 0.60017 0.67528 0.79112
0.50182 1.00000 0.89806 0.08733 0.19005
0.60017 0.89806 1.00000 0.30229 0.39098
0.67528 0.08733 0.30229 1.00000 0.48460
0.79112 0.19005 0.39098 0.48460 1.00000
d=21 b=76:
1.00000 0.50170 0.59974 0.67528 0.79115
0.50170 1.00000 0.89798 0.08731 0.18999
0.59974 0.89798 1.00000 0.30214 0.39068
0.67528 0.08731 0.30214 1.00000 0.48461
0.79115 0.18999 0.39068 0.48461 1.00000
d=21 b=77:
1.00000 0.50175 0.59971 0.67526 0.79113
0.50175 1.00000 0.89794 0.08765 0.18999
0.59971 0.89794 1.00000 0.30264 0.39056
0.67526 0.08765 0.30264 1.00000 0.48450
0.79113 0.18999 0.39056 0.48450 1.00000
d=21 b=78:
1.00000 0.50162 0.59955 0.67526 0.79114
0.50162 1.00000 0.89795 0.08744 0.18989
0.59955 0.89795 1.00000 0.30237 0.39043
0.67526 0.08744 0.30237 1.00000 0.48453
0.79114 0.18989 0.39043 0.48453 1.00000As can be seen, the observed correlations do, to a high degree, match the specified input correlations, as it should be.
Next step is of course: analysis of the observed correlations to find a stock for opening a position, and of course also whether to keep or close currently held stocks in portfolio...
Last edited: