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What is "rank correlation"?
Carroll Slemaker
----- Original Message -----
From: "rudolf stricker" <lists@xxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>; "Ross S Bond" <ross.bond@xxxxxxxxxxxxx>
Sent: Saturday, August 24, 2002 4:25 AM
Subject: Re: Correlation Math Help
> > I am trying to determine correlation between market systems - am I
> > correct to use the linear correlation coefficient r (from page 10 of
> > Vince's Mathematics of Money Management), or should I be looking at
> > something like linear regression?
>
> Using correlation coefficient might be very misleading, when
> correlating variables ranging from positive to negative values. This
> is because rather small values around zero might show even negative
> correlation, even if the absolute errors are very small. Moving to
> _rank correlation_ gives a much better insight into the quality of
> correlation in those cases.
>
> mfg rudolf stricker
> --
> | Disclaimer: The views of this user are strictly his own.
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