finmlkit.feature.core.correlation module¶

Correlation-based metrics for time series data.

finmlkit.feature.core.correlation.rolling_price_volume_correlation(price: ndarray[tuple[int, ...], dtype[float64]], volume: ndarray[tuple[int, ...], dtype[float64]], window: int) → ndarray[tuple[int, ...], dtype[float64]][source]¶

Calculate the rolling Pearson correlation coefficient between price returns and volume.

Parameters:

price – Array of price values
volume – Array of volume values
window – Window size for rolling correlation

Returns:

Array of correlation coefficients