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Update README.md
Nov 10, 2022
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19.pairs_trading_with_lmar
19.pairs_trading_with_lmar
Nov 9, 2022
1.pairs_trading.introduction.ipynb
1.pairs_trading.introduction.ipynb
Oct 2, 2021
10.pairs_trading_GMC.ipynb
10.pairs_trading_GMC.ipynb
Mar 9, 2022
11.pairs_trading_copula.ipynb
11.pairs_trading_copula.ipynb
Apr 5, 2022
12.pairs_trading_markov_switching.ipynb
12.pairs_trading_markov_switching.ipynb
Apr 25, 2022
13.quasi_multivariate_pairs_trading.ipynb
13.quasi_multivariate_pairs_trading.ipynb
Apr 27, 2022
14.pairs_trading_granger_causality.ipynb
14.pairs_trading_granger_causality.ipynb
May 3, 2022
15.coint_based_stat_arb.ipynb
15.coint_based_stat_arb.ipynb
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16.pairs_trading_df2006.ipynb
16.pairs_trading_df2006.ipynb
Jul 11, 2022
17.pairs_trading_14s.ipynb
17.pairs_trading_14s.ipynb
Jul 25, 2022
18.pairs_trading_with_kagi.ipynb
18.pairs_trading_with_kagi.ipynb
Aug 2, 2022
2.pairs_trading.pairs_selection.distance.ipynb
2.pairs_trading.pairs_selection.distance.ipynb
Oct 10, 2021
3.pairs_trading.pairs_selection.distance_part2.ipynb
3.pairs_trading.pairs_selection.distance_part2.ipynb
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4.pairs_trading.pairs_selection.cointegration_1.ipynb
4.pairs_trading.pairs_selection.cointegration_1.ipynb
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5.pairs_trading.pairs_selection.cointegration_2.ipynb
5.pairs_trading.pairs_selection.cointegration_2.ipynb
Nov 2, 2021
6.pairs_trading.pairs_selection.cointegration_3.ipynb
6.pairs_trading.pairs_selection.cointegration_3.ipynb
Nov 11, 2021
7.pair_trading.svr_v1.ipynb
7.pair_trading.svr_v1.ipynb
Nov 19, 2021
8.pairs_trading_with_ou_process_part1.ipynb
8.pairs_trading_with_ou_process_part1.ipynb
Dec 1, 2021
9.pairs_trading_with_ou_process_part2.ipynb
9.pairs_trading_with_ou_process_part2.ipynb
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README.md
README.md
Nov 10, 2022
bbh_idna.csv
bbh_idna.csv
Dec 1, 2021
bbh_idna_volume.csv
bbh_idna_volume.csv
Dec 6, 2021
biotech_av_v1.csv
biotech_av_v1.csv
Nov 19, 2021
copulas.py
copulas.py
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markov_params.p
markov_params.p
Apr 23, 2022
pairs13_16.csv
pairs13_16.csv
Nov 2, 2021
pairs16_19.csv
pairs16_19.csv
Nov 2, 2021
pairs_tau.csv
pairs_tau.csv
Apr 1, 2022
qm_0306.csv
qm_0306.csv
Apr 27, 2022
rollingpairs.csv
rollingpairs.csv
Nov 11, 2021
spread_params.pkl
spread_params.pkl
Feb 14, 2022
spy_ohlc.csv
spy_ohlc.csv
Dec 1, 2021
vbr100_10_13.csv
vbr100_10_13.csv
May 3, 2022
vbr13_16.csv
vbr13_16.csv
Nov 2, 2021
vbr16_19.csv
vbr16_19.csv
Oct 10, 2021
vbr18_21.csv
vbr18_21.csv
Apr 5, 2022
xlf.csv
xlf.csv
Dec 1, 2021

Repository files navigation

pairs_trading

experiments with pair trading

Medium:

  1. https://medium.com/@financialnoob/pairs-trading-introduction-f495c9218216
  2. https://medium.com/@financialnoob/pairs-trading-pair-selection-distance-5ac4aeef0de0
  3. https://medium.com/@financialnoob/pairs-trading-pair-selection-distance-part-2-e61db839cad4
  4. https://medium.com/@financialnoob/pairs-trading-pair-selection-cointegration-part-1-ec9d63f8025f
  5. https://medium.com/@financialnoob/pairs-trading-pair-selection-cointegration-part-2-407669407785
  6. https://medium.com/@financialnoob/pairs-trading-pair-selection-cointegration-part-3-72d8f5d6a440
  7. https://medium.com/@financialnoob/pairs-trading-with-support-vector-machines-6cd27c051451
  8. https://medium.com/@financialnoob/pairs-trading-with-ornstein-uhlenbeck-process-part-1-cf7f9b532f5d
  9. https://medium.com/@financialnoob/pairs-trading-with-ornstein-uhlenbeck-process-part-2-225bec1aea20
  10. https://medium.com/@financialnoob/pairs-trading-modeling-the-spread-with-mean-reverting-gaussian-markov-chain-model-7ca3bb897214
  11. https://medium.com/@financialnoob/pairs-trading-with-copulas-5fec8016e245
  12. https://medium.com/@financialnoob/pairs-trading-with-markov-regime-switching-5664be1ac33f
  13. https://medium.com/@financialnoob/quasi-multivariate-pairs-trading-466e60196794
  14. https://medium.com/@financialnoob/granger-causality-test-in-pairs-trading-bf2fd939e575
  15. https://medium.com/@financialnoob/cointegration-based-multivariate-statistical-arbitrage-339adcbe314
  16. https://medium.com/@financialnoob/pairs-trading-modeling-the-spread-as-gaussian-state-space-model-with-exogenous-inputs-aa419e1ee462
  17. https://medium.com/@financialnoob/pairs-trading-analysis-of-several-pair-selection-methods-and-trading-strategies-33d408f31ba8
  18. https://medium.com/@financialnoob/pairs-trading-with-kagi-indicator-44653395865a
  19. https://medium.com/@financialnoob/pairs-trading-with-cointegrated-logistic-mixture-autoregressive-lmar-model-65ce563d58e8

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experiments with pair trading

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