17 resultados para Sharpe ratio


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We propose a likelihood ratio test ( LRT) with Bartlett correction in order to identify Granger causality between sets of time series gene expression data. The performance of the proposed test is compared to a previously published bootstrapbased approach. LRT is shown to be significantly faster and statistically powerful even within non- Normal distributions. An R package named gGranger containing an implementation for both Granger causality identification tests is also provided.

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The pressure dependence of the glass-transition temperature, T(g)(P), of the ionic glass-former 2Ca(NO(3))(2) center dot 3KNO(3), CKN, has been obtained by molecular dynamics (MD) simulations The liquid-glass difference of thermal expansivity, Delta alpha, heat capacity, Delta C(p), and isothermal compressibility, Delta kappa, have been calculated as a function of pressure. It has been found that the Ehrenfest relation dT(g)/dP = TV Delta alpha/Delta C(p) predicts the pressure dependence of T, but the other Ehrenfest relation, dT(g)/dP = Delta kappa/Delta alpha, does not. Consequently, the Prigogine-Defay ratio, Pi = Delta C(p)Delta kappa/TV Delta alpha(2), is Pi similar to 1.2 at low pressures, but increases 1 order of magnitude at high pressures. The pressure dependence of the Prigogine-Defay ratio is interpreted in light of recent explanations for the finding Pi > 1.