Peng, Shaowei; Han, Wenchen; Jia, Guozhu - In: Data science and management : DSM 5 (2022) 3, pp. 117-123
Correlations between two time series, including the linear Pearson correlation and the nonlinear transfer entropy, have attracted significant attention. In this work, we studied the correlations between multiple stock data with the introduction of a time delay and a rolling window. In most...