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Several people have asked me for more details about testing for Granger (non-) causality in the context of non-stationary data. This was prompted by my brief description of some testing that I did in my "C to Shining C" posting of 21 March this year. I have an of example to go through here that will illustrate the steps that I usually take when testing for causality, and I'll use them to explain some of pitfalls to avoid. If you're an EViews user, then I can also show you a little trick to help you go about things in an appropriate way with minimal effort. In my earlier posting, I mentioned that I had followed the Toda and Yamamoto (1995) procedure to test for Granger causality. If you check out this reference, you'll find you really only need to read the excellent abstract to get the message for practitioners.
Dave Giles' Blog: Testing for Granger Causality
Святая вера в рост или Почему "хомяки" будут раздеты? / Блог им. 123insaider / Клуб трейдеров sMart-Lab. Мы делаем деньги на рынке.
Анализ 4 часовых графиков Сипы вчера показал, что крупные игроки начали продавать. Об этом говорят длинные тени на 4 часовых барах в 16-00 (нижняя) и 20-00 (верхняя). Учитывая медвежий тренд, можно предположить, что крупные игроки используют данный отскок для закрытия длинных и открытия коротких позиций (большим фондам не так легко быстро выскочить из лонгов, им для этого нужно длительное время, поэтому все малейшие отскоки используются для закрытия лонгов). Однако работа крупных игроков зачастую очень убедительна для мелких игроков (условно назовем эту категорию «хомяками»).
SOURCE: AP/Elaine Thompson Ryan Riemath starts to fill his tank at a Shell gas station Tuesday, April 26, 2011, in the Seattle suburb of Bellevue, Washington. By Daniel J. Weiss and Valeri Vasquez | April 28, 2011 The oil shock of 2008 helped drive the U.S. economy into the Great Recession.
Oil Roulette: Rising Oil Prices Harm American Families but Enrich Serial Speculators
As part of its Energy and Financial Markets Initiative, EIA is assessing the various factors that may influence oil prices — physical market factors as well as those related to trading and financial markets. This website describes 7 key factors that could influence oil markets. The analysis explores possible linkages between each factor and oil prices, and includes regularly-updated graphs that depict aspects of those relationships. EIA's traditional coverage of physical fundamentals such as energy consumption, production, inventories, spare production capacity, and geopolitical risks continues to be essential. EIA is also assessing other influences, such as futures market trading activity, commodity investment, exchange rates, and equity markets, as it seeks to fully assess energy price movements. This analysis was published on June 16, 2011 and covers the period from 2000 forward.
U.S. Energy Information Administration - EIA - Independent Statistics and Analysis
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BP Solar International Inc.: Private Company Information - BusinessWeek
KyneticORM: A configuration-less, dynamic self-adaptive ORM with no need for mapping or configuration files
Full documentation can be found at: http://keroseneorm.codeplex.com/ . Repository for the most updated code: https://github.com/mbarbac/Kerosene . Oct 10, 2012: New version 5.3.2 is now available. This is a maintenace version that includes a number of extension methods to the IKEnumerator interface in order to permit an easy chaining of the ConvertBy() method in order to obtain, in an better structured way, the converted business objects from your database. Introduction There are lots of scenarios, even in these days plenty of open-sourced frameworks and entities, where the time and efforts you need to devote to master, write and maintain the plethora of things most ORM solutions require don’t really worth.Three-tier .NET Application Utilizing Three ORM Technologies
1 Introduction This article presents a three-tier .NET WinForms accounting application, called "LEK", that can be configured at run time to access its data (in a SQL Server database) using either LINQ to SQL, Entity Framework, or NHibernate. The download for the article contains the Visual Studio 2008 solution, including everything you need to build the application. The source code included in the download, and the article itself, are organized so that it is as easy as possible to compare how the same functionality can be achieved with each of the three ORMs. If you are already familiar with one of these three ORMs, and need to learn one of the other three, then I think you will be able to use this article to leverage your knowledge of one to learn the other. 2 Contents at a Glance
Catel - WPF, Silverlight and Windows Phone 7 MVVM library - Home
Catel is an application development platform with the focus on MVVM (WPF, SL, WP and WinRT) and MVC (ASP.NET MVC 4). The core of Catel contains an IoC container, models, validation, memento, message mediator, argument checking, etc. Catel.MVVM contains all the MVVM classes such as ViewModelBase, Command, services, etc.Oh dear God, anybody who votes [for unit-testing] has major problems. I hate the @#$% things. And the "Write tests first, code later" paradigm eludes me.
Advanced Unit Testing, Part I - Overview
Introduction Unit testing is the process of using short, programmatic tests to test the logic and functionality of discreet units of code. The use of such tests brings a whole host of benefits, not the least facilitating change within the code base (including refactoring), by being able to easily identify if breaking-changes have been introduced; as well as encouraging the use of test-driven development. NUnit is a well-established, Open-Source unit testing framework for .NET. It is, in my opinion, extremely easy to use, and is very well supported by most good continuous-integration systems, allowing unit tests to be run automatically as part of the build process. This article is primarily for those of you who are new to unit testing and is intended as a basic introduction to unit testing and test-driven development; as well as how to write basic tests using the NUnit framework.
Unit Testing 101: Getting Started with NUnit
Î ïðîåêòå ALGLIB ALGLIB - ýòî êðîññ-ïëàòôîðìåííàÿ áèáëèîòåêà ÷èñëåííîãî àíàëèçà, ïîääåðæèâàþùàÿ íåñêîëüêî ÿçûêîâ ïðîãðàììèðîâàíèÿ (C++, C#, Pascal, VBA) è íåñêîëüêî îïåðàöèîííûõ ñèñòåì (Windows, Linux, Solaris). Âîçìîæíîñòè ALGLIB âêëþ÷àþò â ñåáÿ: Ëèíåéíóþ àëãåáðó (ïðÿìûå àëãîðèòìû, EVD, SVD) Ðåøåíèå ñèñòåì óðàâíåíèé (ëèíåéíûõ è íåëèíåéíûõ) Èíòåðïîëÿöèþ Îïòèìèçàöèþ FFT ×èñëåííîå èíòåãðèðîâàíèå Ëèíåéíóþ è íåëèíåéíóþ àïïðîêñèìàöèþ ïî ÌÍÊ Ðåøåíèå îáûêíîâåííûõ ÄÓ Âû÷èñëåíèå ñïåöèàëüíûõ ôóíêöèé Ñòàòèñòèêó (îïèñàòåëüíóþ ñòàòèñòèêó è ïðîâåðêó ãèïîòåç) Àíàëèç äàííûõ - êëàññèôèêàöèþ, ðåãðåññèþ, â ò.÷. ñ èñïîëüçîâàíèåì íåéðîííûõ ñåòåé Ðåàëèçàöèþ àëãîðèòìîâ ëèíåéíîé àëãåáðû, èíòåðïîëÿöèè è ò.ä. â àðèôìåòèêå âûñîêîé òî÷íîñòè (ñ èñïîëüçîâàíèåì MPFR) Çà ÷òî âûáðàòü ALGLIB? Çà òî, ÷òî áèáëèîòåêà ALGLIB:
ALGLIB
Serialization in .NET - 1
Recently while returning home from work my wife (another .NET developer) was murmuring something. On further poking she said that she has been assigned a task where she has to serialize and deserialize objects and she is afraid of serialization. What? Serialization is pretty easy, I replied back. So that’ small discussion is my motivation for writing this blog on serialization. In this and subsequent blog I will show how easy serialization is and also delve into the nitty gritties of serialization.Вчерашние свечи / StockSharp (S#) / Биржевая торговля, глазами трейдера
Вчера наткнулся на интересную библиотеку для .Net — (S#), которая представляет собой сборку библиотек для написания торговых роботов на платформе .Net. Написав простенькое приложение, которое отображает последние 50 свечек, наткнулся на неприятный момент – свечки отображаются только за текущий день. К примеру, возьмем таймфрейм в 5 минут. В 10:45 нам необходимо получить 20 свечек для анализа. К сожалению, метод GetTimeFrameCandles вернет нам только три свечи. А как же быть с остальными свечами?Click your way to great Silverlight charts [Live ChartBuilder sample and source code!] - Delay's Blog
Yesterday in my Introduction to Charting with the Silverlight Toolkit post, I included a teaser for my ChartBuilder application. The tease ends today, because I've just posted a live ChartBuilder for everyone to play with and am also making the source code available for download. What is ChartBuilder? In addition to driving the Silverlight Charting effort and being one of the primary developers, I was also the entire test team for Charting. (I told you we were resource constrained.) I decided pretty quickly that I needed to do what I could to make it easy for anyone to exercise the Charting implementation, find bugs, and report them.Introduction There are tons of articles on the MVVM (Model-View-ViewModel) design pattern , and rightfully so. It's an easy pattern to understand (after you've studied it for a while) and it very nicely separates concerns. Where better to separate concerns than with a Chart and its data?
WPF Charting using MVVM Pattern
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