cointegration

This repository contains three ways to obtain arbitrage which are Dual Listing, Options and Statistical Arbitrage. These are projects in collaboration with Optiver and have been peer-reviewed by staff members of Optiver.

A stock backtesting engine written in Java. And a pairs trading (cointegration) strategy implementation using a bayesian kalman filter model

Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM

A repository to explore the concepts of applied econometrics in the context of financial time-series.

This project performs large scale Monte Carlo simulations of the eigenvalues that appear in Johansen's null distribution. Results are written to `*.dat` files which can be reloaded later for analysis.

C# Console Application: Asks for two files containing historical financial data in the same format as files from Yahoo Finance. Performs the two-step Engel-Granger Test for Cointegration and simulates profits of applying the Pairs Trading Strategy to these stocks. To Project further Includes code to conduct statistical inference and a Function t…

Statistics and performance metrics in trading, CAGR, Sharpe, MAE, MFE, and others. Cointegration, Kalman, and option pricing.

Pair Trading Analysis & Exercises Toolkit [Jupyter Notebook]

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 ratio.

A professional-grade quantitative trading system that implements statistical arbitrage through mean-reversion strategies on cointegrated asset pairs.

List of books on time series analysis, with links to code where available

Machine learning applications in Finance.

Beer national sales forecasting

A brutally honest, 16-notebook tutorial series on the research mechanics of statistical arbitrage using OpenAlgo NSE equity data. Cointegration, pairs, Kalman hedges, Johansen baskets, cross-sectional factor-neutral books, and honest validation. Educational only.

Prepared workspace for reproducible, cost-aware pairs-trading research.

R Time series packages not included in CRAN Task View: Time Series Analysis

Statistical arbitrage pairs trading project that scans the Dow Jones Global Titans 50 for cointegrated stock pairs and tests a mean-reversion trading strategy using Engle–Granger cointegration tests.

Implementations of various trading strategies

R finance guide - Algotrading101

An R package to implement VEC models