A statistical measure of the relationship between two variables (e.g., financial ASSET prices), often used to determine the magnitude of CORRELATION . The covariance between two assets can be computed via: where xAj is an observation of asset A, xA is the MEAN of asset A, x Bj is an observation of asset B, xB is the mean of asset B, and n is the number of observations. See also CORRELATION COEFFICIENT .
Black’s Law Online Dictionary
