Has anyone mapped out correlations / cointegrations in stocks with AI?

Hi!

There are actionable trading opportunities based on cross-asset correlations and seasonal trends.

Has anyone identify leading indicators and correlations? If Asset A and Asset B historically move together, and A suddenly spikes, B also spikes!

I also want to factor in seasonality….essentially training the model to recognize how specific stock prices behave on certain days/weeks of the year based on historical macro data and calendar anomalies.

Anyone done it?

What data do you need?