-- Philip J. McDonnell [mailto:pmcd8@xxxxxxxxxxx] : > Following are the correlations for the stock pairs before and > after XTF inception date. > last 1452d prev 1452d > aig:jpm 0.546448163 0.506538013 > aig:bac 0.525274399 0.465876397 Little known fact: Prof Phil used to teach `Significant Digits 101' .. . Anyway, to get the ball rolling, data for four [arbitrarily and retrospectively chosen] tickers, BSC LEH MER MWD, are at http://dailyspeculations.com/WallSt.txt I didn't scrounge any bank stock data; too hard on my brain to track all the mergers over time And here's a quickie R script that reads the data and does a 'slide show' of pairwise daily change scatters, by year from '96 to '04. This has only entertainment, rather than predictive, value, but with any luck other Specs will pick up the ball. Or I may continue the thought on tech-spec over the weekend .. . R.version.string WallSt<- read.table('http://dailyspeculations.com/WallSt.txt') str(WallSt); head(WallSt); tail(WallSt) Chgs<- data.frame(100*apply(log(WallSt),2,diff)) Year<- as.numeric(matrix(unlist(strsplit(row.names(Chgs),'-')),3)[3,]) windows(); by(Chgs,Year,plot)