correlation matrix online?

Sidekicker · Jan 20, 2012

Does anyone know of an up to date correlation matrix online?
similar to this:
http://kurtosistrading.com/blogspot/wp-content/uploads/2010/01/matrix.png

I'm more interested in the relationship of bonds, FX, and commods than just FX pairs.

scose-no-doubt · Jan 20, 2012

You'd be better off building it yourself.

On a related note, do any Excel/VBAers have some code I can use that will automatically populate an excel sheet with EOD figures.

BILLV · Jan 20, 2012

What do you think of this?

Forex Correlation

Sidekicker · Jan 20, 2012

scose-no-doubt said:
You'd be better off building it yourself.

On a related note, do any Excel/VBAers have some code I can use that will automatically populate an excel sheet with EOD figures.

Yeah, but then I have to get EOD data for many symbols and it's not that easy with the UK brokers.

BILLV said:
What do you think of this?

Forex Correlation

Thanks, but that's FX only.

scose-no-doubt · Jan 20, 2012

What's wrong with yahoo or msn EOD? The problem I have is coding in the auto update. Completely at a loss

Sidekicker · Jan 20, 2012

scose-no-doubt said:
What's wrong with yahoo or msn EOD? The problem I have is coding in the auto update. Completely at a loss

They don't have futures as far as I know especially not Bund data.

scose-no-doubt · Jan 20, 2012

Deutsche Bundesbank - Browser-Empfehlung

any good?

Wouldn't commods and FX spot be a decent enough proxy for correlation purposes?

cr6196 · Jan 20, 2012

scose-no-doubt said:
What's wrong with yahoo or msn EOD? The problem I have is coding in the auto update. Completely at a loss

I have seen auto-updates using google, yahoo, and advfn before. I have a spreadsheet (I didn't write it) that does it somewhere but try looking through the google finance API? I have heard it is pretty straightforward to do.

Actually scratch that, I have had a look at the code for excel and it is complicated. It is far easier to use google finance API/javascript.

scose-no-doubt · Jan 20, 2012

Thanks mate

Not seen you round in a while. What gives?

Sidekicker · Jan 20, 2012

cr6196 said:
I have seen auto-updates using google, yahoo, and advfn before. I have a spreadsheet (I didn't write it) that does it somewhere but try looking through the google finance API? I have heard it is pretty straightforward to do.

Actually scratch that, I have had a look at the code for excel and it is complicated. It is far easier to use google finance API/javascript.

Google FInance doesn't do FX or futures AFAIK.

scose-no-doubt · Jan 20, 2012

Think he was talkin to me mate but as I said before isn't the spot a close enough proxy for correlation purposes.

ppt33 · Feb 6, 2012

Sidekicker said:
Does anyone know of an up to date correlation matrix online?
similar to this:
http://kurtosistrading.com/blogspot/wp-content/uploads/2010/01/matrix.png

I'm more interested in the relationship of bonds, FX, and commods than just FX pairs.

try this site it has something similar... but intraday 20 Day and 60 days

Correlation Matrix – Overview 02/06/2012 - Commodity Farm

ppt33 · Feb 6, 2012

Sidekicker said:
Does anyone know of an up to date correlation matrix online?
similar to this:
http://kurtosistrading.com/blogspot/wp-content/uploads/2010/01/matrix.png

I'm more interested in the relationship of bonds, FX, and commods than just FX pairs.

try here... something similar

Correlation Matrix – Overview 02/06/2012 - Commodity Farm

ppt33 · Feb 6, 2012

sorry for the double up... new around here.

lieblm · Apr 3, 2012

Sidekicker said:
Google FInance doesn't do FX or futures AFAIK.

It does FX actually:

Code:

=GoogleFinance("CURRENCY:USDEUR")

alphadude · Apr 7, 2012

Sidekicker said:
Yeah, but then I have to get EOD data for many symbols and it's not that easy with the UK brokers.

Thanks, but that's FX only.

I wouldn't trust any provider to give me correlation matrix of products that I am going to trade.

correlation matrix is dependent on the lead/lag of its constituents. how do you know what these fellows are providing? how do you guarantee there is no look ahead bias; or if they used the EOD price vs adjusted price; or any other price for that matter.

correlation matrix online?

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