DEFINITION of 'Cross-Correlation'

A statistical measure timing the movements and proximity of alignment between two different information sets of a series of information.

BREAKING DOWN 'Cross-Correlation'

Cross correlation is generally used when measuring information between two different time series. The range of the data is -1 to 1 such that the closer the cross-correlation value is to 1, the more closely the information sets are.

  1. Negative Correlation

    A relationship between two variables in which one variable increases ...
  2. Positive Correlation

    A relationship between two variables in which both variables ...
  3. Autocorrelation

    A mathematical representation of the degree of similarity between ...
  4. Correlation

    In the world of finance, a statistical measure of how two securities ...
  5. Covariance

    A measure of the degree to which returns on two risky assets ...
  6. Contagion

    The spread of market changes or disturbances from one region ...
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