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Minor point, but when calculating the avg_diff_price for $GME you should be calculating a return (close-open)/open otherwise days where the stock went from 100 to 105 (5% increase) look the same as days when it went from 5 to 10 (100% increase).

Likewise, when calculating the correlations, that should be done on returns and not prices.

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I'm not sure that's a given. They are different measures, but both completely valid. A return might be more meaningful to a long term investor, but ultimately every other metric and participant is interested in the absolute change: traders to calculate pnl/greeks/etc, exchanges to match orders, clearers to calculate margin.

If I am wearing 100 shares, whether it went from $5 to $10 or $100 to $105, it's the same pnl.

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