When we look at real-world data, relationships are rarely instant: it takes time for a change in one variable to affect another, even if they are strongly related. Therefore, when correlating two datasets, we need to think about lag, and using visualizations to make it apparent.
In this notebook, we discuss lag in correlations, and the importance of using your eyes and not just relying on statistical correlation tools.
Informative!
You might be interested in the geometric equivalent which is non-rigid registration. I assume it could be applied to returns data.
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