NM DEV Forum - Recent Posts https://nm.dev/forums/ NM DEV Discussion Board en-US Tue, 10 Mar 2026 01:16:27 +0000 wpForo 60 How to calculate the Akaike Information Criterion (AIC) https://nm.dev/forums/nmdev-discussion/how-to-calculate-the-akaike-information-criterion-aic/#post-84 Tue, 30 Jul 2024 16:51:25 +0000 In below code I return the "pValue" in the "AugmentedDickeyFuller". 
Now we can use different LagOrder parameters where it is important to choose the "best" possible lagOrder to return as accurate "pValue" as possible.

Normally a good way to determine what LagOrder value to choose is by calculate the
Akaike Information Criterion (AIC).

Where the lowest found AIC would be a good pValue to choose.

I am not sure how to calculate the AIC with the library in this context?
Below line is just pseudo code and that function do not exist but show the intent.

Thank you!

CalculateAIC(statistic, lagOrder)
TrendType P_1 = TrendType.CONSTANT;
ADFDistribution dist = P_1.getDistribution(array_MSFT.Length);

double minAIC = double.MaxValue;
int bestLagOrder = 0;

int maxLagOrder = 20;
for (int lagOrder = 0; lagOrder <= maxLagOrder; lagOrder++) {
    AugmentedDickeyFuller ADFtest = new AugmentedDickeyFuller(array_MSFT, P_1, lagOrder, dist);
    double pValue = ADFtest.pValue();
    double statistic = ADFtest.statistics();

    //How to Implement AIC calculation? (Pseudo Code)
    double aic = CalculateAIC(statistic, lagOrder); 
    
    if (aic < minAIC) {
        minAIC = aic;
        bestLagOrder = lagOrder;
    }
}
]]> Anonymous https://nm.dev/forums/nmdev-discussion/how-to-calculate-the-akaike-information-criterion-aic/#post-84 RE: How to declare ADFDistribution for AugmentedDickeyFuller in C# code https://nm.dev/forums/nmdev-discussion/how-to-declare-adfdistribution-for-augmenteddickeyfuller-in-c-code/#post-82 Tue, 30 Jul 2024 16:07:47 +0000 I think I found a way like this:

ADFDistribution dist = TrendType.NO_CONSTANT.getDistribution(data.Length);

Thank you!

]]> Anonymous https://nm.dev/forums/nmdev-discussion/how-to-declare-adfdistribution-for-augmenteddickeyfuller-in-c-code/#post-82 How to declare ADFDistribution for AugmentedDickeyFuller in C# code https://nm.dev/forums/nmdev-discussion/how-to-declare-adfdistribution-for-augmenteddickeyfuller-in-c-code/#post-81 Mon, 29 Jul 2024 01:06:42 +0000 Hello,

I am trying to understand how to create the: AugmentedDickeyFuller

The parameter I have problem to declare is the below ADFDistribution

ADFDistribution ADF_dist



How to implement that correctly for this C# code?

Thank you!

            double[] array_MSFT = new double { 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 };
            int lagOrder = 0;
            ADFDistribution ADF_dist = new ???
            AugmentedDickeyFuller ADFtest = new AugmentedDickeyFuller(array_MSFT, TrendType.CONSTANT, lagOrder, ADF_dist);

            double pValue = ADFtest.pValue();
            double statistic = ADFtest.statistics();
            MessageBox.Show(pValue + "__" + statistic);
]]> Anonymous https://nm.dev/forums/nmdev-discussion/how-to-declare-adfdistribution-for-augmenteddickeyfuller-in-c-code/#post-81 RE: Using the library in an open source project https://nm.dev/forums/nmdev-discussion/using-the-library-in-an-open-source-project/#post-80 Tue, 21 Feb 2023 11:36:50 +0000 @haksunli thanks for the info and will look a bit more into it. 

Noticed indeed that Matrix operations in SuanShu have some inherit performance overhead (access patterns cause some level of indirections), but nothing that is too hard to fix for me I would imagine. Especially since mostly interested in DenseMatrix and the abstraction in SuanShu allow for easy refactoring. Of course, bugs are very undesirable. 

]]> Anonymous https://nm.dev/forums/nmdev-discussion/using-the-library-in-an-open-source-project/#post-80 RE: Using the library in an open source project https://nm.dev/forums/nmdev-discussion/using-the-library-in-an-open-source-project/#post-79 Mon, 20 Feb 2023 04:24:06 +0000 Peter,

Thank you for reaching out.

The open-source version of SuanShu is rather old. It was our first attempt at making a comprehensive library. It has subtle bugs and performance issues, e.g., matrix multiplication, that has since been improved in the new nm dev library.

NM Dev supports a library of trading strategies that may be of interest to you. They are in the packages prefixed by "tech.nmfin".

The models are supported by NM FinTech.

https://nmfin.tech/products/algoquant/quantitative-trading-models/

 

If your business model is only open-source and free, maybe you can use SuanShu in your product.

If you have a for-fee model, maybe there is a synergy between nmdev and the quantitative trading models in our library.

 

 

 

]]> haksunli https://nm.dev/forums/nmdev-discussion/using-the-library-in-an-open-source-project/#post-79 Using the library in an open source project https://nm.dev/forums/nmdev-discussion/using-the-library-in-an-open-source-project/#post-78 Sun, 19 Feb 2023 12:12:16 +0000 I'm the main developer of an open source algo-trading platform and SuanShu or NMDev seems to be a good library to base some more advanced strategies upon. 

As far as I can tell, only SuanShu (2012 release as available on GitHub) comes under the open source Apace license that would allow me to modify and redistribute it. Already great that this version has been open sourced 👍. 

NM Dev om the other hand requires a commercial license by the end user. That would prohibit me from releasing my own software for free since if I include nm.dev library (even if I pay for it and only include the binary), I cannot redistribute it.

Any insights (especially if I'm wrong), would be very welcome? Thanks in advance for any help!!!


For those interested in the open source algo-trading project, checkout http://roboquant.org

Kind regards,

Peter

]]> Anonymous https://nm.dev/forums/nmdev-discussion/using-the-library-in-an-open-source-project/#post-78 RE: quantitative analyst https://nm.dev/forums/jobs/quantitative-analyst/#post-71 Tue, 03 Jan 2023 09:11:44 +0000 bawcxzwaczxdawdas

]]> Anonymous https://nm.dev/forums/jobs/quantitative-analyst/#post-71 RE: quantitative analyst https://nm.dev/forums/jobs/quantitative-analyst/#post-70 Tue, 03 Jan 2023 09:11:36 +0000 bracxzdwadzcxz

]]> Anonymous https://nm.dev/forums/jobs/quantitative-analyst/#post-70 RE: quantitative analyst https://nm.dev/forums/jobs/quantitative-analyst/#post-69 Tue, 03 Jan 2023 09:11:27 +0000 dadaczvw

]]> Anonymous https://nm.dev/forums/jobs/quantitative-analyst/#post-69 RE: quantitative analyst https://nm.dev/forums/jobs/quantitative-analyst/#post-68 Tue, 03 Jan 2023 09:11:20 +0000  Forum contains no unread posts

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