ARTICLE SYNOPSIS...MEASURING ASSOCIATION BETWEEN RETURNS ON TWO ASSETS The covariance between the total returns on two assets X and Y is defined as the average over the entire period of the products consisting of asset X's return in a given subperiod less its average retu
ARTICLE SYNOPSIS...Here is a way to detect the start of a price trend, also called a "wave". It borrows two basic concepts from numerical calculus--the derivative and the integral--as an approach to filtering wav