Comment by ta12653421
15 days ago
you apply it to find cross correlation ideas about larger numbers of assets. Try doing your stuff on a daily base with more than 500 assets :-)
15 days ago
you apply it to find cross correlation ideas about larger numbers of assets. Try doing your stuff on a daily base with more than 500 assets :-)
But it won't give me anything interesting though ! Like, would you trust it on an even higher scale ? It has no basis for its investment thesis, it's a word statistician, not a risk-weighted decision taker !