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cov/cor between two metrics #2
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Thanks for the feedback. Just so I understand what you’re thinking, here’s an example of how I’d approach it using a
If so, in addition to price vs volume for many securities, do you have other use cases that come to mind? My sense is more basic applications, such as when there is only one |
Current i use a similar implement. But if we can have a native cpp solution could it be more efficient in time cost and memory cost. For now we have to use a 2*2 matrix for saving 1 value. roll_cov2 = function(x, y, n) { |
Thanks, I believe you're simply asking to have the same behavior as in |
This feature was added in the development version:
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For example like
(-1 * correlation(open, volume, 10))
If we have two metrics for open and volume each, and each column for a symbol. It will be much more convenient if we can use something like "roll_cor(open, volume, 10)" or "roll_cor(list(open, volume), 10)" rather than transform into vectors then transform back.
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