Rethinking Temporal Dependencies in Multiple Time Series: A Use Case in Financial Data

These days, complex systems yield copious time series data, necessitating understanding co-generation, often assessed through pairwise comparisons. However, this method lacks scalability and temporal dynamics handling. In this paper, we advocate using a temporal graph to capture contiguous effects among multiple time series efficiently. Our two-step approach identities patterns and temporal influences with low execution lime, showcasing its potential in financial system incident prediction.