Is there a screening service or software which can search for the instruments with the highest correlation with a given stock/futures/index/forex? For example, the stocks with the highest correlation with spot gold price, the stocks with the highest correlation with corn futures, etc. Help is greatly appreciated.
Not exactly what you are asking but here is a correlation chart (I saved the link from a diff thread a few weeks ago.) Just be sure you understand the usefulness of the chart. It is not historical beyond the data shown. http://mrci.com/special/correl.htm This is a for-profit service that seems to do alot of correlation work. Cheers Osorico [not affiliated in any way with any aspect of the link(s) provided above]
you can use R and its Rmetrics library. there's a function to get data from yahoo and a correlation matrix function