An Intuitive View on Mutual Information

Layman’s guide to appreciating the concept of association

Recently I’ve been working on a project that aims to screen pairs of variables in the stock market, and see how they show enough correlation potential for us to deep-dive and research further.

Throughout my research, I’ve chanced upon many different methodologies; from the humble Spearman’s/Pearson linear correlation, to the more advanced non-linear methods using Time-Delay Embeddings and even Machine Learning techniques.

And that was when …

concept correlation data science guide information information-theory market mathematics mutual-information project research show statistics stock variables view