Found 214 repositories(showing 30)
sap215
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.
rodler
No description available
jshellen
No description available
BananaHamm
Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee
Artificial-Intelligence-Big-Data-Lab
No description available
JavierAlbert
Statistical Arbitrage & Algorithmic Trading: time series analysis and the presence of cointegration in cryptocurrency price series.
jensnesten
Deep learning applied to statistical arbitrage pairs trading strategies
rzhadev1
generalized pairs trading and statistical arbitrage in python.
HarperGuo
Implemented a logistic mixture auto-regressive co-integration to model a mixture of random walk and mean-reverting process.
noterminusgit
Production-grade statistical arbitrage trading system with 20+ alpha strategies, portfolio optimization, and multiple backtesting engines. Features PCA decomposition, Barra risk models, and realistic transaction cost modeling for daily rebalancing across ~1,400 US equities.
betaprior
Example of a statistical arbitrage strategy analysis in R
indipanesar96
Imperial College Business School SIF - Statistical Arbitrage
jackgurae
Stat Arbitrage
PeterKoka1
A pairs trading model with NASDAQ:FOX and NASDAQ:FOXA. Current 2-yr backtest: 14.3% return
oskarringstrom
Statistical Arbitrage trading algorithm for QuantConnect. Main ideas taken from "Pairs Trading Evaluation of profitability and risks on the Swedish stock market" (http://lup.lub.lu.se/luur/download?func=downloadFile&recordOId=7370318&fileOId=7370368).
oldoldjiang
statistic arbitrage strategy research tools
No description available
MateoPedro
Market-neutral crypto strategy leveraging intraday momentum and reversals, optimized via Sharpe-weighted research findings
sukanyaghosh74
A comprehensive statistical arbitrage (pairs trading) bot that downloads stock data from Yahoo Finance using yfinance, finds cointegrated pairs via the Engle–Granger test, trades the spread using z-score entry and exit rules, and backtests the strategy with Backtrader.
logantxk
Statistical Arbitrage model using 90 day price history from Binance.
interl0per
A failed attempt to profit from price fluctuations across exchanges
jeffzzzhang
pair trading(stat arb), July 2017
brianjychan
No description available
sid-kon
Pulls real time market data to identify opportunities for Statistical Arbitration
pranavwalia
StatArbLab is a library featuring convinient and scalable implementations of various statistical arbitrage techniques. The library utilizes vectorized backtesting and customizable brokerage fee structures. StatArbLab is designed to serve students, academics, and quantitative researchers alike.
Anonymous336699
This repo is show Statistical Arbitrage Pairs trading strategy by using optimal pairs and robust system
No description available
UrekMazino
Python StatArb bot: Engle-Granger cointegration testing, rolling hedge ratios, threshold-based zero-crossings, and real-time z-score trading signals.
alichopping
An exposition of a simple pairs trading strategy on two stocks (Bajaj Finserv and Indian Bank) in the Nifty500, at the one-minute time frequency, in order to demonstrate some of the core ideas of statistical arbitrage strategies.
ssioutis
Statistical arbitrage trading strategy development and optimization