Hi Herman and Bruce, Frankly, my understanding of AFL is nowhere near you guys' level. I didn't really understand whether your discussion leads to any conclusion regarding whether such a correlation filtering can be done. If there is indeed some way to produce the desired output(Ticker1, Ticker2, Correlation...), are you willing to share?
I am sorry if I sound like I am just asking for stuff without contributing, but this is really beyond my knowledge. Thanks,
