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jakobrunge / tigramite

Tigramite is a python package for causal inference with a focus on time series data. The Tigramite documentation is at
https://jakobrunge.github.io/tigramite/
GNU General Public License v3.0
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Testing Independence of Stocks #26

Closed manujchandra closed 5 years ago

manujchandra commented 5 years ago

Hi,

A critical assumption of correlation is that the variables are independent.

I am doing a correlation analysis of stock prices.

If we want to test the independence of stock prices (two or more stocks are independent of each other) for correlation analysis which of the following tests should be employed?

Thanks in advance.

jakobrunge commented 5 years ago

To test X indep of Y given Z, it depends on what type of dependency between X,Y,Z you assume. These topics are all treated in the publication

Runge, Jakob. 2018. “Causal Network Reconstruction from Time Series: From Theoretical Assumptions to Practical Estimation.” Chaos: An Interdisciplinary Journal of Nonlinear Science 28 (7): 075310.

~Jakob

On 01.12.18 07:08, Manuj Chandra wrote:

Hi,

A critical assumption of correlation is that the variables are independent https://www.investopedia.com/ask/answers/031015/how-can-you-calculate-correlation-using-excel.asp.

I am doing a correlation analysis https://github.com/dataBOT3DS/NIFTY50-52-week-Correlation-Analysis/blob/master/NIFTY50%20Correlation%2052%20week/NIFTY50%20Correlation%20Matrix.ipynb of stock prices.

If we want to test the independence of stock prices (two or more stocks are independent of each other) for correlation analysis which of the following tests https://github.com/jakobrunge/tigramite/blob/master/tigramite_tutorial.ipynb should be employed?

Thanks in advance.

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