Fechner Correlation Matrix

Compute the asset Fechner correlation matrix, from either:

• Asset returns
• Asset close-to-close prices, from which asset logarithmic returns are computed

References

• Latyshev, A., Koldanov, P. (2016). Investigation of Connections Between Pearson and Fechner Correlations in Market Network: Experimental Study. In: Kalyagin, V., Koldanov, P., Pardalos, P. (eds) Models, Algorithms and Technologies for Network Analysis. NET 2014. Springer Proceedings in Mathematics & Statistics, vol 156. Springer, Cham.