#fintwit hivemind when ya'll calc correlations between crypto (or any 7-days-a-week asset) returns and SPY, how do you handle the weekends? Impute a zero for SPY? Or impute NA for crypto? Or something else?
cc @GestaltU @alphaarchitect @choffstein @daniel_egan
You measure the price at times when both markets are open, and calculate returns from those price measurements. Eg for daily obs, measure price at SPX close Mon-Fri. The Fri-to-Mon return spans three days but that’s okay (you could upweight it in the calculation if you want)
