I study the correlation structure and argue that these should be ltered. I propose the use of di erent correlation measures other than Pearson, in particular a modi cation of Event Synchronization adapted to negative values or a ltered correlation matrix.
Correlation Structure of Spiky Financial Data: The Case of Congestion in Day-Ahead Energy Markets
Browse the Paper archive. Researcher: Francesco Caravelli. Research Category: Electricity Grids, Finance, Machine Learning. Bookmark the permalink.