#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
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So, you can undo the bias by increasing the corr you calculate by the fraction of vol (of A and B) from t2 -> t3. How do you get this vol number, given you don't have a t3 snap for A and a t2 snap for B? Priors. :)
Even better, calculate the same-day covariance and the one-day-lagged covariance, add together, and divide by the square root of the product of one-day-variance.
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By “better” I mean that this will have lower standard error. Obviously both methods are unbiased estimators of correlation.
Thanks. Twitter will use this to make your timeline better. UndoUndo
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