Cross-Correlation

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.

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