Consider the following graph:
The red line (left axis) describes the trading volume of a certain stock. The blue line (right axis) describes the twitter message volume for that stock. For instance, on May 9 (05-09) about 1.100 million trades and 4.000 tweets were made.
I would like to calculate whether there is a correlation between the timeseries, either on the same day or with a lag - for instance: tweet volume correlates with trading volume one day later. I'm reading many articles who have made such analysis, for instance Correlating Financial Time Series with Micro-Blogging Activity, but they do not describe how such an analysis is made in practical terms. The following is stated in the article:
However, I have very little experience with statistical analysis and don't know how to execute this on the series that I have. I use SPSS (also known as PASW) and my question is: what are the steps to take to make such an analysis from the point where I have a datafile underlying the above image? Is such a test a default feature (and what is it called) and/or how could I else execute it?
Any help would be greatly appreciated :-)