correlation_matrix
Build a point-in-time correlation matrix across every symbol in the input.
Parameters
- standard
data: Data | DataFrame | Series | dict | list | list[DataFrame] | list[Data] | list[Series] | ndarray
Long-format multi-symbol price data with a symbol column.
index: str
Default: date
Index column name in data.
target: str
Default: close
Column to correlate.
window: int
If set, restrict correlation to the trailing window rows before as_of_date. None uses every available row.
method: str
Default: pearson
Correlation method, by default "pearson".
as_of_date: date | datetime | str
Anchor date for the snapshot. None uses the last available row in the input.
Returns
results: list[CorrelationMatrixData]
Serializable results.
provider: str
Provider name.
warnings: Optional[list[Warning_]]
List of warnings.
chart: Optional[Chart]
Chart object.
extra: dict[str, Any]
Extra info.
Data
- standard
as_of_date: date | datetime | str
Anchor date used for the snapshot.
symbols: list[str]
Symbols, in matrix order.
matrix: list[list[float]]
Correlation values.