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;
    }
}

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);

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

Kind regards,

Peter

What't the purpose of buying the book 'Numerical Methods using java...' when the free version (https://github.com/nmltd/SuanShu/tree/master/20120606%20src/src/main/java/com/numericalmethod/suanshu) is a different librarie which isn't usable (chapter 5) or when the nmdev-1.0.0 download has a licence which is expired at 2020-05-12

Can you give a new trial-licence for nmdev-1.0.0

Kind regards

Arnoud

Why does S2 show a server launch?

The primary responsibilities of the role are:

• Model development and stress testing.
• Instrument valuation and pricing across all Equities and Fixed Income products (Exchange Traded and OTC)
• Maintenance of existing models
• Risk analysis and management
• Development of code for pricing models and risk models in Java
• Contribute to the development of Stress Testing methodologies.
• Assist and contribute to key projects in the organization.

Who we’re looking for:

• 5+ years in a quantitative role
• Must have a Ph.D. in mathematics, statistics, computer science or a related field
• Must have a M.S./Ph.D. degree in quantitative finance or quantitative mathematics
• Strong understanding of derivatives
• Exceptional knowledge of equities and rates products
• Strong coding experience in Java, C++, Python, R and SQL
• Experience working on a trading floor with a large investment bank
• Excellent stakeholder engagement skills
• Publications

• Be resourceful enough to bring in new clients and families, investors and LPs
• Ensure a successful separation from the current Family Office and set up systems, processes and governance for the new organization
• Manage all accounting, taxation and statutory obligations including company secretarial
• Be involved in investment decision making and strategies, including appropriate taxation structuring in conjunction with external advisors
• Lead and coordinate the development, collection and validation of all data required
• Lead the ongoing development of reports and reporting requirements for the business
• Maintain a comprehensive understanding of the accounting, financial and forecast data being reported
• Lead any ad-hoc projects as required

About You

The ideal candidate will be an experienced CEO, CFO or Head of Finance with relevant experience in the investment management sector in equities, fixed incomes and alternative investments.

Ideally, you will have been in another family office environment with a culture of trust and confidentiality. Strong and current taxation knowledge is critical, as is a broader financial skillset and an interest in equities investing.

You will be CFA/CPA qualified (or equivalent), whilst a corporate or professional services background is preferred with the maturity to work autonomously in a friendly and flexible environment.

Importantly, the candidate will be seeking a long-term employer and a stable environment where they can build trust and contribute to a successful growth strategy over many years.

You will be well organized, with the capacity to ensure deadlines are met.

Please apply by emailing your resume to career@nm.dev.

So i need your helping with better understanding how Johanson test works and how can i apply it to my series to do exactly conclusion about cointegration.

So, i have initialized an instance of the class CointegrationMLE

CointegrationMLE cointegrationMLE = new CointegrationMLE(timeSeries, false);

And i have numerous parameters, such as

n: 198
rank: 2
eigen values: 
alpha: 2x2
 
 -0,087240, 0,001106,
 0,175470, 0,002975,
1-th cointegrating factor: 
2-th cointegrating factor: [1,000000, -0,051580

Are these parameters sufficient to make an assumption about series cointegration? And what is the final rule for it?  Do I need to additionally use JohansenTest?