Statistical Association (Presentation Slides)

34 Pages Posted: 15 Jan 2020 Last revised: 9 May 2022

See all articles by Marcos Lopez de Prado

Marcos Lopez de Prado

Cornell University - Operations Research & Industrial Engineering; Abu Dhabi Investment Authority; True Positive Technologies

Date Written: January 2, 2020

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

Suggested Citation

López de Prado, Marcos and López de Prado, Marcos, Statistical Association (Presentation Slides) (January 2, 2020). Available at SSRN: https://ssrn.com/abstract=3512994 or http://dx.doi.org/10.2139/ssrn.3512994

Marcos López de Prado (Contact Author)

Cornell University - Operations Research & Industrial Engineering ( email )

237 Rhodes Hall
Ithaca, NY 14853
United States

HOME PAGE: http://www.orie.cornell.edu

Abu Dhabi Investment Authority ( email )

211 Corniche Road
Abu Dhabi, Abu Dhabi PO Box3600
United Arab Emirates

HOME PAGE: http://www.adia.ae

True Positive Technologies ( email )

NY
United States

HOME PAGE: http://www.truepositive.com

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