Granger Causality test...

Discussion in 'Strategy Development' started by mizhael, Sep 30, 2010.

  1. Hi all,

    Has anybody got any success story about using Granger Causality test in trading? Any good software package to use to test the Granger causality? In a stats class I have taken at school, we did some little experiments with toy example/data. But any usage of Granger Causality test with application to trading? Which software package shall we use? I know there are a bunch of packages in R and Eviews and Matlab. And there is an optimal lag length that needs to be specified before hand. With all those magic numbers... And there may be a lot of nuance about correctly using this method. If used inappropriately, it can well turn against us.

    Lets discuss. Thank you!