This is a summary of links featured on Quantocracy on Thursday, 08/22/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
How to Measure Statistical Causality: A Transfer Entropy Approach with Financial Applications [Open Quants]Weve all heard the say correlation does not imply causation, but how can we quantify causation? This is an extremely difficult and often misleading task, particularly when trying to infer causality from observational data and we cannot perform controlled trials or A/B testing. Take for example the 2-dimensional system from Fig. 4.1. Figure 4.1: Life is Random (or Nonlinear?) At a first