Correlation analysis is ubiquitous in many fields of quantitative study. In the field of quantitative finance, it is especially useful for diversifying your portfolio by minimizing correlation between your assets' return streams. We will provide a primer on correlation analysis and discuss its relation to covariance.
In addition, we have released a notebook on Spearman Rank Correlation here. Spearman Rank Correlation is robust to differing scales in the underlying data and non-normal distributions.
This is part of Quantopian’s Summer Lecture Series. We are currently developing a quant finance curriculum and will be releasing clone-able notebooks and algorithms to teach key concepts. This notebook will be presented at this meetup. Stay tuned for more.
Credit for the notebooks goes to Evgenia 'Jenny' Nitishinskaya, and credit for the algorithms goes to David Edwards.