The following takes the last 5 members of the Dow Jones index and plots the correlation matrix of the last 5 years of daily prices:
mem = FinancialData["^DJI", "Members"];
findata =
FinancialData[#, "Price", {{2007}, {2012}, "Day"}][[All, 2]] & /@
mem[[-5 ;; -1]];
fincm = Correlation[Transpose@findata];
tb = Map[Item[NumberForm[#, 2],
Background ->
ColorData["TemperatureMap"][Rescale[#, {-1, 1}]]] &, fincm, {2}];
tb = Prepend[tb, mem[[-5 ;; -1]]];
tb = Join[List /@ Prepend[mem[[-5 ;; -1]], ""], tb, 2];
GraphicsGrid[tb, ImageSize -> 500, Frame -> All]
But what if I want to compare 5 specific equities instead from various listed exchanges; i.e CWC.L, CAP.PA, IFX.DE, ISYS.L and LAD.L?
Anyone?