Assuming: 1) every variable you calculate with follows the law of large numbers (also known as the central limit theorem) (this means amongst other things, tha

Assuming: 1) every variable you calculate with follows the law of large numbers (also known as the central limit theorem) (this means amongst other things, that if you find correlation, you can't tell anyone involved in the variables, even yourself, because you'll act on it and change it, at which point the correlation won't hold. Also it won't work for chaotic variables, like pretty much anything involving human actions) 2) the correlation remains intact over longer time periods. The variables must be sampled without bias. You have properly separated your concepts, and made sure they actually represent what you want to be looking at. Etc. Etc. Etc. (this is essentially stating : don't fuck up the math before you calculate correlation) (obviously don't fuck up the math afterwards either, in other words : correctly check for statistical significance) 3) You have to check with every time offset, and even with variable time offsets. This is too complex to go into. Then correlation implies a "causal relationship". Meaning corr(A, B) > 0 IFF 1) A causes B 2) B causes A 3) there is some external factor C that causes both A and B Now keep in mind that there is no such thing as a root cause. There is simply a chain of events, and if the next event wouldn't have happened without the previous, the first event is said to be the cause of the second. "I shot him because his bees annoyed me", this "algorithm" would find the bees as guilty as the perpetrator, they are both causes of the death. Also keep in mind that this only works AS LONG AS YOU LEAVE THE CAUSAL CHAIN ALONE. If you calculate correlation, and find, say "BAC" always goes up 2 days before "JPM" goes up, and then you proceed to buy JPM when BAC goes up, you've just invalidated your conclusion (translation : this works better the smaller an investor you are). There is also absolutely no guarantee that killing of one chain of events won't simply lead to another. Say you have a harbor with 2 entrances, and because one is wider, every ship uses it. Therefore "getting to that harbor" correlates perfectly with "going through entrance A". Obviously blocking entrance A won't lead to no more ships in the harbor. So this DOES NOT match the human/legal idea of "cause", and can never yield useful actions to take. It is nevertheless a useful metric.