cor

Correlation

Syntax: x cor y, cor[x;y]

Where x an d y are conforming numeric lists returns their correlation as a floating point number in the range -1f to 1f. Applies to all numeric data types and signals an error with temporal types, char and sym.

q)29 10 54 cor 1 3 9
0.7727746
q)10 29 54 cor 1 3 9
0.9795734
q)1 3 9 cor neg 1 3 9
-1f

q)select price cor size by sym from trade

cor is an aggregate function.

Perfectly correlated data results in a 1 or -1. When one variable increases as the other increases the correlation is positive; when one decreases as the other increases it is negative. Completely uncorrelated arguments return 0f.

Wikipedia: Correlation and dependence
financereference.com: Correlation
Basics: Mathematics