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correlation

Correlation is a research project and software suite for testing whether stock correlations predict later market movements. Its Rust engine computes all-pairs and lagged correlations using INT8 matrix multiplication through cuBLASLt on NVIDIA GPUs or AVX-VNNI on CPUs; the same engine can process other large collections of time series. A command-line tool and eframe/egui desktop interface provide census, holdout, forecasting, portfolio, diversification, hedging, grouping, timeline, and step-by-step correlation-explanation workflows. The repository also includes Python machine-learning experiments, a grader that compares strategies with turnover-matched random accounts, walk-forward testing with held-out data, datasets, and documented experiment results. Its reported tests found that lagged correlations did not reliably predict stock movements after trading costs, while same-day co-movement was useful for portfolio-risk analysis. The software is released under the GNU General Public License version 3 or later; included market and external-series data remain subject to their own source terms.

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What correlation is used for

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  • A research project that uses a Rust engine running on the GPU to analyze lagged correlations across thousands of US stocks to determine if they can predict market movements.

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