Realtime Correlation Analysis

And here the correlation analysis of _correlated_ GBM data
Params: stocks=5, vola=30%, bars_per_day=78 (ie. 5-minute bars), 21 days, and the input correlation matrix and its computed Cholesky decomposition matrix:

Code:

Name=corr rows=5 cols=5:
  1.00000  0.50000  0.60000  0.70000  0.80000
  0.50000  1.00000  0.90000  0.10000  0.20000
  0.60000  0.90000  1.00000  0.30000  0.40000
  0.70000  0.10000  0.30000  1.00000  0.50000
  0.80000  0.20000  0.40000  0.50000  1.00000

Name=cholesky rows=5 cols=5:
  1.00000  0.50000  0.60000  0.70000  0.80000
  0.00000  0.86603  0.69282 -0.28868 -0.23094
  0.00000  0.00000  0.40000  0.20000  0.20000
  0.00000  0.00000  0.00000  0.62183 -0.26803
  0.00000  0.00000  0.00000  0.00000  0.44139

Showing only the last 9 observed correlations of the 21st day:

Code:

d=21 b=70:
  1.00000  0.50157  0.59981  0.67462  0.79127
  0.50157  1.00000  0.89812  0.08724  0.19018
  0.59981  0.89812  1.00000  0.30203  0.39093
  0.67462  0.08724  0.30203  1.00000  0.48392
  0.79127  0.19018  0.39093  0.48392  1.00000

d=21 b=71:
  1.00000  0.50102  0.59956  0.67523  0.79153
  0.50102  1.00000  0.89807  0.08690  0.18993
  0.59956  0.89807  1.00000  0.30189  0.39089
  0.67523  0.08690  0.30189  1.00000  0.48475
  0.79153  0.18993  0.39089  0.48475  1.00000

d=21 b=72:
  1.00000  0.50091  0.59946  0.67502  0.79155
  0.50091  1.00000  0.89822  0.08619  0.19020
  0.59946  0.89822  1.00000  0.30115  0.39098
  0.67502  0.08619  0.30115  1.00000  0.48454
  0.79155  0.19020  0.39098  0.48454  1.00000

d=21 b=73:
  1.00000  0.50080  0.59945  0.67498  0.79153
  0.50080  1.00000  0.89773  0.08593  0.18998
  0.59945  0.89773  1.00000  0.30147  0.39119
  0.67498  0.08593  0.30147  1.00000  0.48472
  0.79153  0.18998  0.39119  0.48472  1.00000

d=21 b=74:
  1.00000  0.50113  0.59966  0.67516  0.79124
  0.50113  1.00000  0.89777  0.08651  0.18984
  0.59966  0.89777  1.00000  0.30182  0.39104
  0.67516  0.08651  0.30182  1.00000  0.48453
  0.79124  0.18984  0.39104  0.48453  1.00000

d=21 b=75:
  1.00000  0.50182  0.60017  0.67528  0.79112
  0.50182  1.00000  0.89806  0.08733  0.19005
  0.60017  0.89806  1.00000  0.30229  0.39098
  0.67528  0.08733  0.30229  1.00000  0.48460
  0.79112  0.19005  0.39098  0.48460  1.00000

d=21 b=76:
  1.00000  0.50170  0.59974  0.67528  0.79115
  0.50170  1.00000  0.89798  0.08731  0.18999
  0.59974  0.89798  1.00000  0.30214  0.39068
  0.67528  0.08731  0.30214  1.00000  0.48461
  0.79115  0.18999  0.39068  0.48461  1.00000

d=21 b=77:
  1.00000  0.50175  0.59971  0.67526  0.79113
  0.50175  1.00000  0.89794  0.08765  0.18999
  0.59971  0.89794  1.00000  0.30264  0.39056
  0.67526  0.08765  0.30264  1.00000  0.48450
  0.79113  0.18999  0.39056  0.48450  1.00000

d=21 b=78:
  1.00000  0.50162  0.59955  0.67526  0.79114
  0.50162  1.00000  0.89795  0.08744  0.18989
  0.59955  0.89795  1.00000  0.30237  0.39043
  0.67526  0.08744  0.30237  1.00000  0.48453
  0.79114  0.18989  0.39043  0.48453  1.00000

As can be seen, the observed correlations do, to a high degree, match the specified input correlations, as it should be.

Next step is of course: analysis of the observed correlations to find a stock for opening a position, and of course also whether to keep or close currently held stocks in portfolio...