Comments on: How correlations change http://blogs.reuters.com/felix-salmon/2012/04/20/how-correlations-change/ A slice of lime in the soda Sun, 26 Oct 2014 19:05:02 +0000 hourly 1 http://wordpress.org/?v=4.2.5 By: Th.M http://blogs.reuters.com/felix-salmon/2012/04/20/how-correlations-change/comment-page-1/#comment-38215 Mon, 23 Apr 2012 09:39:42 +0000 http://blogs.reuters.com/felix-salmon/?p=13368#comment-38215 This video (made in 2011, and with fewer assets) shows the dynamics; the risk-off phenomenon is particularly clear during crisis, when the whole matrix turns red.

http://www.youtube.com/watch?v=LBO2bYH_K eA

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By: BrPH http://blogs.reuters.com/felix-salmon/2012/04/20/how-correlations-change/comment-page-1/#comment-38133 Fri, 20 Apr 2012 16:44:12 +0000 http://blogs.reuters.com/felix-salmon/?p=13368#comment-38133 What exactly is meant by “correlation” in this case?

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By: MrRFox http://blogs.reuters.com/felix-salmon/2012/04/20/how-correlations-change/comment-page-1/#comment-38129 Fri, 20 Apr 2012 15:22:47 +0000 http://blogs.reuters.com/felix-salmon/?p=13368#comment-38129 Of all the asset classes on the chart, I believe gold has been the best performer over the period, yet it is neither risk-on nor risk-off, but middle of the pack on both lists. Same is largely true of all the “real world” stuff and commod-currencies.

It’s the financial stuff that is at the extremes, and where the changes in rankings take place – the $ being the most striking example.

So, what’s the lesson for us from those 5 tumultuous years? How about – financial engineering is a dangerous thing to get mixed-up in?

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By: M11 http://blogs.reuters.com/felix-salmon/2012/04/20/how-correlations-change/comment-page-1/#comment-38126 Fri, 20 Apr 2012 14:27:45 +0000 http://blogs.reuters.com/felix-salmon/?p=13368#comment-38126 (In my 2nd point I was referring to the overall amount of correlation among assets, not the ranking)

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By: M11 http://blogs.reuters.com/felix-salmon/2012/04/20/how-correlations-change/comment-page-1/#comment-38125 Fri, 20 Apr 2012 14:24:39 +0000 http://blogs.reuters.com/felix-salmon/?p=13368#comment-38125 I would say that this has a lot to do with the spread of statistical arbitrage trading.
Also, comparing those correlations calculated using some simple Pearson coefficient might be a complete fallacy. There could have been entirely same inherent correlations with just a bit noisier sampling representation (due to less amount of automated or just lower frequency trading), which is not that easy to filter out and simple correlation measures fail to do that.

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