OPEN-SOURCE SCRIPT

Correlation Coefficient based on Log Returns

1188
Measuring correlations based on log returns, rather than raw prices or simple returns, offers several advantages:

- stationarity: Log returns are more stationary, resulting in more meaningful and reliable results
- volatility: Log returns give a consistent measure of relative changes of assets with different volatility

Log returns are time-additive and often more stationary than simple returns, making them statistically more reliable for analyses in financial contexts. Additionally, they provide a consistent measure of relative price changes and align more closely with the assumptions of many statistical models, including normal distribution.

Declinazione di responsabilità

Le informazioni ed i contenuti pubblicati non costituiscono in alcun modo una sollecitazione ad investire o ad operare nei mercati finanziari. Non sono inoltre fornite o supportate da TradingView. Maggiori dettagli nelle Condizioni d'uso.