Correlation of A-B and C-D kind of assets
Posted: August 14th, 2020, 5:15 pm
This is a real life scenario where in the market I am able to transact only A - B and C - D, even though time series of A, B, C and D are published separately.
How do I find the correlation of A - B and C - D. To understand the order of magnitude, A, B, C, D are order of $50 while A - B, and C - D are order of $0.50. They can also turn negative or there are instances in time where A - B and C - D can be zero.
How do I find the correlation of A - B and C - D. To understand the order of magnitude, A, B, C, D are order of $50 while A - B, and C - D are order of $0.50. They can also turn negative or there are instances in time where A - B and C - D can be zero.