Cross section

Overview

The Cross section analysis produces output series by performing a calculation across a set of input series at each point in time, e.g. average of multiple series. Below the possible calculation are listed:

  • high
  • low
  • mean
  • median
  • percentile
  • product
  • standard deviation
  • sum
  • count
  • count valid
  • average correlation
  • average absolute correlation
  • lower tail mean
  • upper tail mean

Settings

Apart from the available calculations and their properties, there are three main settings regarding the output series and the calculation range.

Include only observations where there are values for all series

When this is checked, calculations will be performed only when all series have values.

Do not include series used in calculations in the output

This excludes from the output all the series that were used as inputs in the calculation. Only the calculated output series and other series in your document that were not used as input will be visible on your chart or table.

Include new series automatically

When this is checked, any new series that you add to your document will be automatically included in the calculations.

Examples

Pairwise correlation

Here, we calculated the average correlation across all sectors of the S&P 500, on a rolling basis. The application will first calculate the correlation for each pair of series. Then, an average of all these correlations will be performed to get a single series.

Performing several statistical calculations across series

Another way of using cross section is to perform several calculations across many series. In this example, we used the MFI interest rates of the main Euro Area countries and performed several calculations in Cross section:

  • high: the highest value across all the series at each point in time
  • low: the lowest value across all the series at each point in time
  • median: the median value across all the series at each point in time
  • percentile [75, 25, 90, & 10]: Specific percentile values across all the series at each point in time.