Cross Correlation Analysis: Analysing Currency Pairs in Python

When working with a time series, one important thing we wish to determine is whether one series “causes” changes in another. In other words, is there a strong correlation between a time series and another given a number of lags? The way we can detect this is through measuring cross correlation.

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Cross-Correlation of Currency Pairs In R (ccf)

When working with a time series, one important thing we wish to determine is whether one series “causes” changes in another. In other words, is there a strong correlation between a time series and another given a number of lags? The way we can detect this is through measuring cross-correlation.

Continue reading “Cross-Correlation of Currency Pairs In R (ccf)”