anthonyli01 / Statistical-Arbitrage-Pairs-Trading-StrategyLinks
On-going project: I will be implementing a combination of pairs trading strategies in attempt to see which type performs best after backtesting. The main ideas involve cointegration, kalman filter, copulas, and machine learning approaches. Since it is a market-neutral strategy, we will analyse the performance on its alpha rather than sharpe rati…
☆13Updated last year
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