database - Finding correlated or comoving stocks -



database - Finding correlated or comoving stocks -

i have table of daily closing stock prices , commodity prices such gold, oil, etc. want find stocks move closely stock or commodity.

where start type of analysis - know java, sql, python, perl, , little bit of r.

willing purchase , larn new tools matlab if necessary.

any guidance highly appreciated.

this not homework question.

thanks..

the technique looking called cointegration. language not of import @ when computing cointegration of 2 time series utilize whatever comfortable with.

i disagree other responses computation not problem. huge problem able compute potentially billions of cointegration coefficients between different time series. using highly optimized library critical. this article on cointegration testing in r should started.

also checkout quant.stackexchange.com more info on quantitative finance.

database r statistics finance quantitative-finance

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