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!