<t>I have programmed Hurst methods like R/S and ADF in VBA, and I built a CI using bootstrap way. Like James said, it is difficult to get confidence band narrow due to limited data length. So it is hard to find something have significant long memory though the Hurst exponent is greater than 0.5. And...

<t>Sorry guys, I just realise that I missed some important information about this question. There is also a forecasting power price matrix for a month. I cannot remember the actual numbers, but it looks like this: Each row is a different period and each column is a different day. The numbers in each...

there is a early post which shows you how to do it in Excel, do a search mate.

you can find some source codes using google. I think most of them follow the Numerical Recipes.

<t>This is one of the questions asked in my recent interview as an energy trading analyst. Company XT owns a power station capable of generating 100 megawatts (MW) of power.The station uses 10 gigajoules of gas to generate 1 megawatt-hour (MWh) of electricity.XT has managed to secure a gas contract ...

Hi James,Yes, but as suggested by literature, the original R/S is too weak and modified R/S is a bit too strong. So I do them just for an exercise. Cheers,Gary

Hi James,R/S, DFA and Periodorgram, and using empirical distribution to test signficance. what about u?could you please send me some high freq data you got? I really need them to carry on my study. many thanks.cheers,Gary

<r>QuoteOriginally posted by: JamesH83Strategos if you need tick data I can get you some.Has anyone looked in to long range dependence properties and calculating hurst exponents across different FX data frequencies (ie tick, minutely, hourly, dairly)?Hi James,Could you please send me your high frequ...

You can find many ARIMA and GARCH examples from google. I can show you some but I think you can find them yourself.c

<t>hey guys,I used Gauss, Eviews and Rats. In my opinion, Eviews is quite specified on time series analysis and it is very user-friendly but it is not my favourite. The reason is that I don?t like user-friendly package and I don?t like its programming. ^_^ Normally I use Rats, it is balanced between...

<t>no, that is incorrect. Dickey-fuller test does looks like a t-test(testing whether P=0) but it follows different distribution. I think you can perform ADF calucation in Excel, but you have to check the DF distribution table supplied by authors to perform hypothesis test. hope this help. ^_^cheers...

Hey guys,sorry for late reply, there is my excel file, have a look and hopefully it helps.cheers,Gary

I have a excel file which performs LS' least square monte carlo method (not very fancy, though), but I don't know why I can't upload it. I got message like "sorry, the type of file you upload is not permitted". any idea?cheers,Gary

Hi tabris,Thank you very much. I am going to have look on these topics.Gary

<t>QuoteOriginally posted by: AaronMonte Carlo methods are used in almost all computationally intensive fields. You have identified the main two in finance: pricing and risk management.Are you interested in research improving Monte Carlo methods? There are interesting questions about quasi-MC, high ...