The following script contains the SQL statements for this query:
-- Find the pair-wise coefficients of correlation in a set of 10 securities -- for a 2 year period. Sort the securities by the coefficient of correlation, -- indicating the pair of securities corresponding to that row. commit ; SELECT a.TRADING_SYMBOL,b.TRADING_SYMBOL, (Count(*) * sum(a.CLOSE_PRICE * b.CLOSE_PRICE) - sum(a.CLOSE_PRICE) * sum(b.CLOSE_PRICE)/sqrt(count(*) * sum(a.CLOSE_PRICE * a.CLOSE_PRICE ) - (sum(a.CLOSE_PRICE) * sum(a.CLOSE_PRICE))) * sqrt(count(*) * sum(b.CLOSE_PRICE * b.CLOSE_PRICE ) - (sum(b.CLOSE_PRICE) * sum(b.CLOSE_PRICE)))) as CORRELATION from (Select TRADING_SYMBOL, TRADE_DATE,CLOSE_PRICE from STOCK_HISTORY AS B WHERE B.TRADING_SYMBOL BETWEEN 'AAA' AND 'AAJ' AND LENGTH(B.TRADING_SYMBOL) = 3 and B.TRADE_DATE BETWEEN '2005-02-08' and '2007-02-07' ) a, (Select TRADING_SYMBOL, TRADE_DATE,CLOSE_PRICE from STOCK_HISTORY AS B WHERE B.TRADING_SYMBOL BETWEEN 'AAA' AND 'AAJ' AND LENGTH(B.TRADING_SYMBOL) = 3 and B.TRADE_DATE BETWEEN '2005-02-08' and '2007-02-07' ) b where a.TRADE_DATE = b.TRADE_DATE group by a.TRADING_SYMBOL, b.TRADING_SYMBOL order by correlation ;