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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