Monday, 22 August 2011

Week 4, Semester 2

This week I finished up the Granger Causality Tests on the 20 stocks from the ASX. Unfortunately we could not conclude that the proportion of algorithmic traders granger causes liquidity changes.

Also, I finished writing up the chapter on Cointegration, Granger Causality and Spurious Regression.

Now I will just show the results to Sanjay and then move on to conducting dark pool simulation experiments.

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