Correlation Array

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Actionable Intelligence: this lens shows you the rolling correlation across a set of concerns.  

In this case, the lens is applied to daily price in thirty stocks over a rolling sixty three day window.   The moving average of the price for the period is shown on each company (red it went down, green it went up).   The size of the company shows whether that price change was on unusual volume (big is unusually high volume, small is unsually low).  For the array of relations visibility is set to only show the relation connecting pairs when their moving window correlation has a value of greater than .9 (green) or -.9 (red).  Lots of green lines means everything is moving together while red lines suggest the pair may have a special relationship to be explored further.

Lens Settings

Visible Green Line if Moving Weekly Correlation between pair is greater than .9

Visible Red Line if Moving Weekly Correlation between pair is greater than .9

Size of companies = moving average trade volume (big=heavy, small=light trading)

Color = price direction for week

Notes: to apply this lens to your own data use the following formulas on relations for:

            Color: mvcorr(endpoint(a,true),endpoint(a,false),"-1w")

            Visibility: abs(mvcorr(endpoint(a,true),endpoint(a,false),"-1w"))>0.9

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