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- staassis replied Jan 11, 2018
Interestingly enough, here is an example of Spearman's rho in trend detection. The paper is somewhat technical. So a regular FF member may skip most mathematical parts to get an idea of the proposed methods. My opinion: the proposed tests may serve ...
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- staassis replied Dec 29, 2017
To get the ball rolling, here’s the first block of links. 1] Rebalancing a portfolio of ETFs using “mean-variance” principles. Instead of employing the regular covariance matrix of ETFs, the authors employ its modification based on Spearman's rho. ...
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