Tag Archives: statistics

Other Predictions Trading Visualisations

Visualization of long- and short term stock movements

Aim

In this post I will explore, how correlations between long- and short-term stock movements can be visualized using R and ggplot2. I will look at the current German composite index DAX, but any other set of stocks–for which data are available–is feasible. 

 

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Other Predictions Trading Visualisations

Toda-Yamamoto implementation in ‘R’

When it comes to causality tests, the typical Granger-causality test can be problematic. Testing for Granger-causality using F-statistics when one or both time series are non-stationary can lead to spurious causality (He & Maekawa, 1999). 

 

Professor Giles gives an excellent example of how the TY method can be implemented.

 

More formal explanations can be found in the original TY (1995) paper. 

 

In this post, I will show how Professor Giles’ example can be implemented in R. 

 

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