Statistical Association (Presentation Slides)

Abstract

Two random variables are associated when knowing the value of one helps us determine the value of the other. This should not me confounded with the notion of causality.

Correlation is the best known measure of association in econometric studies. Despite its popularity among economists, correlation has many known limitations in the context of financial studies.

In this seminar we will explore more modern measures of association, based on information theory, which overcome some of the limitations of correlations.

Keywords: Machine learning, artificial intelligence, asset management

JEL Classification: G0, G1, G2, G15, G24, E44