I created a new feature as the ratio of daily return of two assets in interacting process but met the problem that, the daily return data of one asset as the denominator are 0 in some dates. So could I just drop these certain days from the time series, or I need to change this feature ? Thank you very much!
You could add replace the zero with the minimum value (closest other number to zero), you could also drop these values and backwardfill or fillna with some other method.