From help-octave-request at bevo dot che dot wisc dot edu Mon Jan 13 05:21:10 2003
Subject: Re: how to generate a correlation matrix for multiple time series 	with some time lag (or lead)
From: "E. Joshua Rigler" <Jrigler at colorado dot edu>
To: Shahbaz Chaudhary <chaudhar at umich dot edu>
Cc: Help-Octave <help-octave at bevo dot che dot wisc dot edu>
Date: 13 Jan 2003 03:25:11 -0700

Try the xcov or xcorr funtions in Octave forge...

 http://octave.sourceforge.net/



On Sun, 2003-01-12 at 20:39, Shahbaz Chaudhary wrote:
> The corrcoef function seems to generate a correlation matrix of vectors
> (each column representing a different vector), is there a way I can
> introduce a lag...sort of like calculating a correlation matrix for
> intra day values of 50 stock quotes (stock prices being quoted for every
> second), then run it again but offsetting one of the vectors by a second
> or two.
> 
> Essentially to see if one stock price follows another.
> 
> I'm fairly new to octave, so please let me know if I'm missing something
> obvious.
> 
> Thanks.
> Shahbaz C. 
> 
> 
> 
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-- 
E. Joshua Rigler <jrigler at colorado dot edu>



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Octave is freely available under the terms of the GNU GPL.

Octave's home on the web:  http://www.octave.org
How to fund new projects:  http://www.octave.org/funding.html
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