correlation matrix in python

Question

How do I calculate correlation matrix in python? I have an n-dimensional vector in which each element has 5 dimension. For example my vector looks like

[
 [0.1, .         


        

Answer 1

Here is a pretty good example of calculating a correlations matrix form multiple time series using Python. Included source code calculates correlation matrix for a set of Forex currency pairs using Pandas, NumPy, and matplotlib to produce a graph of correlations.

Sample data is a set of historical data files, and the output is a single correlation matrix and a plot. The code is very well documented.