Semua buku

Profesional

Aplikasi Tentang Pelatih Masuk Mulai membaca

Quantitative Finance · Glosarium

Apa itu Realised correlation?

Definition 2.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Bab 2 — Dispersion and Correlation

Realised correlation is the average correlation among an index’s members computed from realised variances over a period with the same decomposition as implied correlation: the index’s realised variance against the members’ realised variances.

Baca dalam konteks →