Correlation Analysis

Analyze correlations between financial instruments for portfolio construction and risk management.

Features

• Pearson Correlation
• Rolling Correlation
• Correlation Matrix
• EWMA Correlation
• Rank Correlation (Spearman)
• Tail Correlation
• Correlation Stability Analysis

Usage

from correlation_analysis import pearson_correlation, rolling_correlation

returns1 = [0.01, -0.02, 0.015, -0.01, 0.02]
returns2 = [0.008, -0.015, 0.012, -0.008, 0.018]

corr = pearson_correlation(returns1, returns2)
print(f"Correlation: {corr:.4f}")

rolling = rolling_correlation(returns1, returns2, window=3)

Applications

• Portfolio diversification
• Pairs trading identification
• Risk management
• Hedge effectiveness
• Market regime detection