Comparison of Scalable Analytics Correlation and Classical Correlation in High-Frequency Finance

Measures of covariance and correlation between returns of different financial assets are of great interest in the finance industry. In the high-frequency domain, raw price data is filled with numerous bad data points to which traditional definitions of correlation by Pearson are very sensitive to these outliers, and thus should not be directly applied to raw high-frequency data. Robust measures of correlation less sensitive to outliers can be used to improve the performance of popular financial methods.