I'm looking to compute intraday correlation for 2 tick by tick intraday commodity price time series.
The tick times do not line up across the 2 time series. I'm thinking of converting the time series to a frequency of second and then forward fill to compute correlation.
Also, one of the time series is much more frequent than the other. Hence by forward filling, A lot of similar values will get copied over.
Dummy data to illustrate:
As illustrated, the 2 time series are moving together. But if I backfill and compute correlation, it'll show a small correlation value because most returns in Series1 will be 0.