compute_correlation_matrix
Calculate real-time cross-asset correlation matrix from daily returns to detect regime changes and alert when pair correlations exceed a set threshold.
Instructions
Compute real-time cross-asset correlation matrix for a list of symbols using actual daily returns. Detects regime changes (correlation spikes during crises). Returns heatmap data, average pairwise correlation, and risk concentration score.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| period | No | 3m | |
| symbols | Yes | 2-20 symbols | |
| threshold | No | Alert if any pair correlation exceeds this |