Codependence (Presentation Slides)

30 Pages Posted: 15 Jan 2020 Last revised: 17 Jan 2020

See all articles by Marcos Lopez de Prado

Marcos Lopez de Prado

Cornell University - Operations Research & Industrial Engineering; True Positive Technologies

Date Written: January 2, 2020

Abstract

Two random variables are codependent 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 perhaps the best known measure of codependence in econometric studies. Despite its popularity among economists, correlation has many known limitations in the contexts of financial studies.

In this seminar we will explore more modern measures of codependence, 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, Codependence (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

True Positive Technologies ( email )

NY
United States

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

Register to save articles to
your library

Register

Paper statistics

Downloads
1,424
Abstract Views
3,205
rank
13,179
PlumX Metrics