cointegration topic

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...

JerBouma

Python library for cointegration analysis. It carries out cointegration test and evaluates spread between cointegrated time-series based on scikit-learn API.

simaki

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

lukstei

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

andreachello

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

shimonanarang

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...

Tobias-Mann