Come Here Quick, Durbin Watson by Ron McEwan
ARTICLE SYNOPSIS ...Stocks & Commodities V. 22:4 (58-60): Come Here Quick, Durbin Watson by Ron McEwan
Here's how you can use the Durbin Watson statistic to measure the autocorrelation of two securities.
One of the most powerful statistical tools traders have at their disposal is the ability to measure the correlation between two sets of time series data.
There are many approaches to this. One is to measure the relationship of stock prices (usually the closing prices). Another method, common among portfolio
analysts, is to measure the correlation of the returns (daily, weekly, or monthly) of the underlying dat...