Wich data for correlation?

[Perigon]

I'm trying to measure the correlation between markets, but i'm not sure of what value i'm supposed to measure.. is the percentage change since the last bar, or what should I use?

/Johan

 

[jmreeve]

Normally you correlate the returns.

log(price/price[1])

 

[alexander]

I'm trying to measure the correlation between markets, but i'm not sure of what value i'm supposed to measure.. is the percentage change since the last bar, or what should I use?

/Johan

You probably mean you are trying to measure the cross-correlation between two markets. I think that the term "correlation" refers to a constant in linear approximations of the form y=ax+b or it is a measure of linear dependence of two variables x and y.

Keep in mind that correlation can be zero but two variables can be dependent, except in very special cases.

Cheers - - Alex