any studies on calculating correlations or r-squareds?

[ak2003]

wondering if anyone knew how to run a correlation or calculate an r-sqaured between two securities? any help much appreciated!

[gspiker]

Hi,

R^2 is usually used as a goodness of fit measurement for lines and such. Not sure how that would relate to two different stocks, unless you wanted to remove the real price of the securities and just measure relative movement, which should be doable.

There is more than one Algorithm for calculating R^2. If you are just interested in that I can send you some pointers, including a R^2 efs I wrote (thats all it does is corrilate goodness of fit for a line to price).

Garth

[ckryza]

aka2003:

There are two correlation scripts (Pearsons & Spearman) in the Specialty Scripts group in the File Share area. Just look in the Correlations folder.

Chris