Cryptocurrency Rolling Correlations

Cryptocurrency Pair 1:

Cryptocurrency Pair 2:

Cryptocurrency Pair 3:

Correlation amongst assets is the degree to which they move in tandem. The values range between -1 and +1, where a value of -1 means that the returns move in opposite directions (e.g. BTC up 0.2% and ETH down -0.2%) and a value of +1 means the returns move in the same direction (e.g. BTC up 0.2% and ETH up 0.2%). A value of zero denotes no (linear) dependence between the assets. The results can be interpreted as follows:
  • 0.5 to 1: Strong positive relationship
  • 0.3 to 0.5: Moderate positive relationship
  • 0.1 to 0.3: Weak positive relationship
  • -0.1 to 0.1: No linear relationship
  • -0.1 to -0.3: Weak negative relationship
  • -0.3 to -0.5: Moderate negative relationship
  • -0.5 to -1.0: Strong negative relationship
Shown above are two months of rolling 90-day Pearson correlations using log returns calculated from volume weighted average daily prices. The correlations denote the relationship between Bitcoin and other currencies. This plot is a time series of the crypocurrency correlation matrix. Use the buttons to select other currencies. This chart is updated daily.

BTC = Bitcoin, ETH = Ethereum, BCH = Bitcoin Cash, XRP = Ripple, LTC = Litecoin, DASH = Dash, XMR = Monero, XEM = NEM, ETC = Ethereum Classic, XLM = Stellar Lumens, ZEC = Zcash, NXT = Nxt, REP = Augur, LSK = Lisk, FCT = Factom, GLD = SPDR Gold Shares.

Raw price data courtesy of Poloniex.
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