sap215 / StatArbPairsTradingLinks
This repository includes an introduction to statistical arbitrage pairs trading. Specifically, I discuss some of the research methods required in order to find a successful pair as well as the code implementation for a backtest.
☆67Updated last year
Alternatives and similar repositories for StatArbPairsTrading
Users that are interested in StatArbPairsTrading are comparing it to the libraries listed below
Sorting:
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆141Updated last year
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆75Updated 5 years ago
- CS7641 Team project☆97Updated 5 years ago
- Montecarlo simulations/analysis for finance (equity simulator)☆50Updated 2 years ago
- ☆152Updated 2 years ago
- High-frequency statistical arbitrage☆244Updated 2 years ago
- This repository is used to extract the constituents of ETFs into a pandas DataFrame which could be used for further data exploration.☆27Updated last month
- Feature Engineering and Feature Importance in Machine Learning for Financial Markets☆196Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆204Updated this week
- Script for Calculating Implied Probability Distribution from Option Prices - The Quant's Playbook @ Quant Galore☆42Updated 2 years ago
- ☆52Updated 2 years ago
- A Collection of public tutorials published in the qubitquants.pro blog☆74Updated 2 years ago
- ☆67Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Updated 7 years ago
- ☆141Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆124Updated 2 years ago
- Python codes used in book 'Option Greeks Strategies & Backtesting in Python'☆163Updated 4 years ago
- Time Series Prediction of Volume in LOB☆60Updated last year
- Calculates estimate of market maker gamma exposure derived from S&P 500 index options☆148Updated 6 months ago
- Research Repo (Archive)☆75Updated 5 years ago
- Official Repository☆133Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- algorithmic trading using machine learning☆155Updated this week
- This project implements an advanced pairs trading strategy using statistical arbitrage techniques. It leverages Bayesian optimization to …☆43Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆84Updated 7 years ago
- Collection of notebooks and scripts related to financial engineering, quant-research and algo-trading.☆86Updated last week
- To classify trades into buyer- and seller-initiated.☆155Updated 3 years ago
- ☆215Updated 8 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago