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A comment on Analyzing Cryptocurrency Markets Using Python. Parent comment

Re:Analyzing Cryptocurrency Markets Using Python by hodder on Monday August 21, 2017 @10:54AM (#15065023)
(As a quant) when calculating correlations of returns, we use log changes.
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Re:Analyzing Cryptocurrency Markets Using Python by Kranar on Monday August 21, 2017 @12:52PM (#15065862)
As a fellow quant I wanted to clarify that we use changes of log prices. Your sentence suggests calculating the change in price and then taking the log rather than taking the log of the prices and then calculating the change.
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Re:Analyzing Cryptocurrency Markets Using Python by hodder on Monday August 21, 2017 @06:23PM (#15068272)
Yes. Thanks. My comment was poorly worded.
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Re:Analyzing Cryptocurrency Markets Using Python by zebrafish on Monday August 21, 2017 @10:58AM (#15065057)
Rather than smoothing, have you tried looking at the correlations of the residuals?
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