Modeling Correlated Trades

I have a need to model some trades that are correlated and curious if anybody knows where to begin. I have written a Monte Carlo simulator for uncorrelated trades but now have a need to model a portfolio of 10 stocks, whose performances are not uncorrelated.

Anybody out there know what has been done to model things like this in the past?

Thanks,

Eyecheck

 

I remember coming across something like which you describe. People who trade pairs are always on the lookout for ways to find instruments that correlate well. You may want to look into some pairs trading websites or literature.

 

I've done this on a list of about 50 funds in wealth-lab, powerful app

 

There have been good threads on this in the past on et. Here's one example:

http://www.elitetrader.com/vb/showthread.php?s=&postid=170111&highlight=pair+correlate#post170111

http://www.elitetrader.com/vb/showt...rpage=6&highlight=pair correlate&pagenumber=1

 

Exactly what do you want to do... in terms of input, and output.

 

This might be of some use:

http://www.2hedge.com

Go Well