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by chocolatemoney
July 24th, 2013, 3:43 pm
Forum: Technical Forum
Topic: Granger Causality
Replies: 14
Views: 8384

Granger Causality

Yes, sorry, it was not really a real question, but AFAIK, bootstrapping requires iid or at least independence.Not sure then how vidyamurthy does the trick then.Anyhow, the book is not clearly written. I also kinda remembering reading some inaccuracies..
by chocolatemoney
July 24th, 2013, 2:56 pm
Forum: Technical Forum
Topic: Granger Causality
Replies: 14
Views: 8384

Granger Causality

Deleted
by chocolatemoney
July 24th, 2013, 2:47 pm
Forum: Technical Forum
Topic: Granger Causality
Replies: 14
Views: 8384

Granger Causality

<t>Quote 2. Future time period 11 onward( say 25-jul-2013).. we use the calculated beta(fixed) and constant ( both calculated until 24th Jul2013) and see the behavior of this residual.. I am sorry, I am now even more confused on what you're trying to achieve.Anyhow, based on historical data, you'll ...
by chocolatemoney
July 24th, 2013, 1:46 pm
Forum: Programming and Software Forum
Topic: F# / F Sharp
Replies: 41
Views: 12153

F# / F Sharp

<r>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: chocolatemoneyPestering the thread again.Hey, I am not sure I am going in the right direction, but here is a state monad in scala.The idea is that the monad could pass along the lattice, instead of the fibonacci serie, and do all tha...
by chocolatemoney
July 24th, 2013, 1:37 pm
Forum: Careers Forum
Topic: Additional computer languages
Replies: 34
Views: 10481

Additional computer languages

<r>I personally would not spend time learning an additional imperative language. I would invest time in trying to work out code with a new approach - pure functional in Haskell, OCAML, F#, for example. I guess that brings more challenges and insights, a fresh new perspective.<URL url="http://www.wil...
by chocolatemoney
July 24th, 2013, 1:31 pm
Forum: Technical Forum
Topic: Granger Causality
Replies: 14
Views: 8384

Granger Causality

<t>The goal of a trading strategy is to make money.I am not sure if picking the relationship with is also supported by Granger causality would give you the "best" trading strategy.Literature is rich of ideas for metrics that can be used to evaluate the quality and tradeability of the cointegrating r...
by chocolatemoney
July 22nd, 2013, 3:08 pm
Forum: Trading Forum
Topic: Pairs trading in futures.
Replies: 7
Views: 9163

Pairs trading in futures.

<r>My 2 cents, I haven't been dealing with this prob for a while, but if I remember correctly:CSI's UA user guide gave me some good hints on what can be done (frwd vs backwards adjustments, roll triggers, etc).It may be worth a look: <URL url="http://www.csidata.com/custserv/onlinehelp/docs/UAManual...
by chocolatemoney
July 22nd, 2013, 2:57 pm
Forum: Technical Forum
Topic: Johansen Test for Cointegration - Determining Lags
Replies: 1
Views: 8870

Johansen Test for Cointegration - Determining Lags

<r>Have a look here: <URL url="http://stats.stackexchange.com/questions/21539/what-is-the-correct-procedure-to-choose-the-lag-when-performing-johansen-cointeg"><LINK_TEXT text="http://stats.stackexchange.com/question ... en-cointeg">http://stats.stackexchange.com/questions/21539/what-is-the-correct-...
by chocolatemoney
July 22nd, 2013, 7:52 am
Forum: Technical Forum
Topic: server for in-memory data storage
Replies: 8
Views: 8485

server for in-memory data storage

Boost did the trick.The code is probably not "high level" as much as I wanted, and yes, it is C++ instead of a "friendlier" Python or Scala, but Boost did the trick.Thanks for your inputs!
by chocolatemoney
July 12th, 2013, 2:52 pm
Forum: Technical Forum
Topic: Kalman Gain
Replies: 8
Views: 17121

Kalman Gain

<r>I wanted to share this PhD dissertation: Yalcin Bulut, "Applied Kalman Filter Theory" (<URL url="http://iris.lib.neu.edu/cgi/viewcontent.cgi?article=1012&context=civil_eng_diss"><LINK_TEXT text="http://iris.lib.neu.edu/cgi/viewcontent ... l_eng_diss">http://iris.lib.neu.edu/cgi/viewcontent.cg...
by chocolatemoney
July 5th, 2013, 4:54 am
Forum: Technical Forum
Topic: Kalman Gain
Replies: 8
Views: 17121

Kalman Gain

<r>Hi, I'd like to revive this great thread with a question:Andrew Burgess in his PhD thesis (A Computational methodology for modelling the dynamics of Statistical Arbitrage, <URL url="http://www.wilmott.com/attachments/Burgess%20PhD%20Thesis.zip"><LINK_TEXT text="http://www.wilmott.com/attachments/...
by chocolatemoney
May 29th, 2013, 2:34 pm
Forum: Programming and Software Forum
Topic: F# / F Sharp
Replies: 41
Views: 12153

F# / F Sharp

<t>QuoteOriginally posted by: VivienBMost time when I explain OCaml I start with a simple example that use a lot of aspect of FP: I design a simple calculus algebra, that can be represented with algebraic data types, and I write a function that evaluate expressions using pattern matching, resistivit...
by chocolatemoney
May 28th, 2013, 10:25 am
Forum: Programming and Software Forum
Topic: F# / F Sharp
Replies: 41
Views: 12153

F# / F Sharp

Pestering the thread again.Hey, I am not sure I am going in the right direction, but here is a state monad in scala.The idea is that the monad could pass along the lattice, instead of the fibonacci serie, and do all that has to be done.Bad idea?
by chocolatemoney
May 28th, 2013, 10:06 am
Forum: Programming and Software Forum
Topic: F# / F Sharp
Replies: 41
Views: 12153

F# / F Sharp

<t>template <typename S, typename T, class Node> Node BackwardInduction(Lattice<S,T,Node, typeBin>& lattice, const std::function<Node (const Node& upper,const Node& lower)>& generator, const std::function<Node (const Node& node)>& endCondition) Shuld BackwardInduction return ...
by chocolatemoney
May 28th, 2013, 10:00 am
Forum: Programming and Software Forum
Topic: F# / F Sharp
Replies: 41
Views: 12153

F# / F Sharp

<t>Yes, we all agree on a mixed model, benefiting from the best of both worlds.Happy to read that my initial guess, back on Friday, has been confirmed.@Vivien:"I don't see where you need states. I think PDE can be implemented in a pure functional style without using monad (or imperative prog)."State...
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