FOREX correlation and causality

Consider the seven major currency pairs, sampled hourly over the last six months. We calculate the pairwise Pearson correlation coefficients to determine the degree with which each pair “moves” together: Values near one or negative one indicate high correlation, values with lower absolute value less so. Positive values indicate movement in the same direction; negative […]

picking stocks by graph database (part one)

Historical stock price data comes readily available at daily resolution. So we calculated the Granger causality for each pair of stocks we hold data for, at one and two day lags (testing the question “does daily percent change in volume for stock X Granger cause daily percent change in adjusted close price for stock Y?”). […]

spinach superpowers and Granger causality

While traversing the darker residuals of the blogosphere, Data Scientist happens upon a blogger in distress. Our hero quickly swallows a can of Red Bull-infused spinach and springs to action: The Popeye Challenge Dr. Mike Sutton of requested assistance demonstrating (or debunking) the proposed causal link between high spinach production and the popularity of Popeye […]