OPEN-SOURCE SCRIPT

Correlation Coefficient based on Log Returns

1 406
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.

免責聲明

這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。