Moving Correlation (American Express,  EUR/CAD, 200 Day Parameter)



X axis : Date

Y axis : Moving Correlation Coefficient



Moving Correlation Distribution (American Express,  EUR/CAD, 200 Day Parameter)



X axis : Moving Correlation Coefficient

Y axis : Number of Day



Analysis

April 2004 to February 2014 correlation coefficient is -0.41.

The moving correlation coefficient  are to be concentrated in the correlation coefficient -0.9~0.6 and The low correlation holds many days.

There are many relatively high correlation between the number of days.

However, in sectors such as American Express vs EUR/CAD has recently negative higher correlation.


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