I have multiple datasets with the same features, a few numerical and a few categorical. The only difference is that they are market behavior for different countries. I wanted to know if there is a way to measure similarities between two or more datasets and provide a % of similarity. For example, US and UK market behavior is 90% similar. The point of this is to identify similar markets and then use them to calculate causal impact. Please let me know what's the best way to do this.
You can use statistical approach and try computing KL-divergence between the 2 datasets (Distributions). However, the KL-Divergence output is between 0 and ∞ (0 meaning two distributions perfectly match). Keep in mind that KL-divergence is asymmetric and not exactly a distance measure. (read more)