- it is not really pertinent to compute the correlation between prices. This takes the currencies trend into account since prices, contrary to e.g. "returns", are non stationary. This will lead to a biased higher correlation. Just do a ".pct_change()" before the correlation.
- also averaging the price between exchanges is a bit naive. It hides arbitrage opportunities and does not reflect the underlying traded volume. A VWAP would at least provide a better approximation.
- it is not really pertinent to compute the correlation between prices. This takes the currencies trend into account since prices, contrary to e.g. "returns", are non stationary. This will lead to a biased higher correlation. Just do a ".pct_change()" before the correlation.
- also averaging the price between exchanges is a bit naive. It hides arbitrage opportunities and does not reflect the underlying traded volume. A VWAP would at least provide a better approximation.