Search found 2 matches

by dwitkin
Tue Feb 22, 2011 7:44 am
Forum: Testing and Simulation
Topic: Correlation Matrix:
Replies: 11
Views: 8765

Using R for Monte Carlo / Correlation Analysis

I'll look forward to reading it... please let me know when it's ready / where it is posted. It is trivial to use R to open your actual futures files and generate a complete correlation matrix and display it as a heat map. With a few lines of code you can do a Monte Carlo analysis to estimate VAR. It...
by dwitkin
Mon Feb 21, 2011 5:11 pm
Forum: Testing and Simulation
Topic: Correlation Matrix:
Replies: 11
Views: 8765

Correlations on CSI

If your correlation issue isn't resolved, CSI has a correlation-only offering for $99 per year. Its not perfect -- gives 2, 5, 10, 15, and 20 year correlations, so you should question the relevance for short term systems. Also, their system doesn't allow you to indicate that you are short a given in...