Measure of Dependence for Financial Time-Series

Martin Winist\"orfer and Ivan Zhdankin

Papers from arXiv.org

Abstract: Assessing the predictive power of both data and models holds paramount significance in time-series machine learning applications. Yet, preparing time series data accurately and employing an appropriate measure for predictive power seems to be a non-trivial task. This work involves reviewing and establishing the groundwork for a comprehensive analysis of shaping time-series data and evaluating various measures of dependence. Lastly, we present a method, framework, and a concrete example for selecting and evaluating a suitable measure of dependence.

Date: 2023-11
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2311.12129

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