Interface CorrelationIndicatorsBulk

correlateAssetPrices

• correlateAssetPrices(
      pricesAssetA: number[],
      pricesAssetB: number[],
      constantModelType: ConstantModelType,
      deviationModel: DeviationModel,
      period: number,
  ): number[]

  Rolling correlation between two price series.

  Parameters

  • pricesAssetA: number[]

    First asset prices.

  • pricesAssetB: number[]

    Second asset prices.

  • constantModelType: ConstantModelType

    Central model for demeaning (SMA, EMA, etc.).

  • deviationModel: DeviationModel

    Deviation model for scaling (StdDev, MAD, etc.).

  • period: number

    Rolling window length.

  Returns number[]

  Array of correlation values per window.

  Example

  const out = correlationIndicators.bulk.correlateAssetPrices(
    pricesA, pricesB, ConstantModelType.SimpleMovingAverage, DeviationModel.StandardDeviation, 20
  );
  Copy