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19.pairs_trading_with_lmar
19.pairs_trading_with_lmar
 
 
20.pairs_trading_with_pci
20.pairs_trading_with_pci
 
 
22.graph_clustering
22.graph_clustering
 
 
23.lead_lag_stat_arb
23.lead_lag_stat_arb
 
 
1.pairs_trading.introduction.ipynb
1.pairs_trading.introduction.ipynb
 
 
10.pairs_trading_GMC.ipynb
10.pairs_trading_GMC.ipynb
 
 
11.pairs_trading_copula.ipynb
11.pairs_trading_copula.ipynb
 
 
12.pairs_trading_markov_switching.ipynb
12.pairs_trading_markov_switching.ipynb
 
 
13.quasi_multivariate_pairs_trading.ipynb
13.quasi_multivariate_pairs_trading.ipynb
 
 
14.pairs_trading_granger_causality.ipynb
14.pairs_trading_granger_causality.ipynb
 
 
15.coint_based_stat_arb.ipynb
15.coint_based_stat_arb.ipynb
 
 
16.pairs_trading_df2006.ipynb
16.pairs_trading_df2006.ipynb
 
 
17.pairs_trading_14s.ipynb
17.pairs_trading_14s.ipynb
 
 
18.pairs_trading_with_kagi.ipynb
18.pairs_trading_with_kagi.ipynb
 
 
2.pairs_trading.pairs_selection.distance.ipynb
2.pairs_trading.pairs_selection.distance.ipynb
 
 
21.pairs_trading_with_wavelet_transform.ipynb
21.pairs_trading_with_wavelet_transform.ipynb
 
 
3.pairs_trading.pairs_selection.distance_part2.ipynb
3.pairs_trading.pairs_selection.distance_part2.ipynb
 
 
4.pairs_trading.pairs_selection.cointegration_1.ipynb
4.pairs_trading.pairs_selection.cointegration_1.ipynb
 
 
5.pairs_trading.pairs_selection.cointegration_2.ipynb
5.pairs_trading.pairs_selection.cointegration_2.ipynb
 
 
6.pairs_trading.pairs_selection.cointegration_3.ipynb
6.pairs_trading.pairs_selection.cointegration_3.ipynb
 
 
7.pair_trading.svr_v1.ipynb
7.pair_trading.svr_v1.ipynb
 
 
8.pairs_trading_with_ou_process_part1.ipynb
8.pairs_trading_with_ou_process_part1.ipynb
 
 
9.pairs_trading_with_ou_process_part2.ipynb
9.pairs_trading_with_ou_process_part2.ipynb
 
 
F-F_Research_Data_Factors_daily.CSV
F-F_Research_Data_Factors_daily.CSV
 
 
README.md
README.md
 
 
bbh_idna.csv
bbh_idna.csv
 
 
bbh_idna_volume.csv
bbh_idna_volume.csv
 
 
biotech_av_v1.csv
biotech_av_v1.csv
 
 
copulas.py
copulas.py
 
 
markov_params.p
markov_params.p
 
 
pairs13_16.csv
pairs13_16.csv
 
 
pairs16_19.csv
pairs16_19.csv
 
 
pairs_tau.csv
pairs_tau.csv
 
 
qm_0306.csv
qm_0306.csv
 
 
rollingpairs.csv
rollingpairs.csv
 
 
sp500.csv
sp500.csv
 
 
spread_params.pkl
spread_params.pkl
 
 
spy_ohlc.csv
spy_ohlc.csv
 
 
spy_top200_021221.csv
spy_top200_021221.csv
 
 
vbr100_10_13.csv
vbr100_10_13.csv
 
 
vbr13_16.csv
vbr13_16.csv
 
 
vbr16_19.csv
vbr16_19.csv
 
 
vbr18_21.csv
vbr18_21.csv
 
 
xlf.csv
xlf.csv
 
 

Repository files navigation

pairs_trading

experiments with pair trading

substack:

  1. https://financialnoob.substack.com/p/pairs-trading-introduction
  2. https://financialnoob.substack.com/p/pairs-trading-pair-selection-distance
  3. https://financialnoob.substack.com/p/pairs-trading-pair-selection-distance-1b6
  4. https://financialnoob.substack.com/p/pairs-trading-pair-selection-cointegration
  5. https://financialnoob.substack.com/p/pairs-trading-pair-selection-cointegration-9fc
  6. https://financialnoob.substack.com/p/pairs-trading-pair-selection-cointegration-b0b
  7. https://financialnoob.substack.com/p/pairs-trading-with-support-vector
  8. https://financialnoob.substack.com/p/pairs-trading-with-ornstein-uhlenbeck
  9. https://financialnoob.substack.com/p/pairs-trading-with-ornstein-uhlenbeck-1ae
  10. https://financialnoob.substack.com/p/pairs-trading-modeling-the-spread
  11. https://financialnoob.substack.com/p/pairs-trading-with-copulas
  12. https://financialnoob.substack.com/p/pairs-trading-with-markov-regime
  13. https://financialnoob.substack.com/p/quasi-multivariate-pairs-trading
  14. https://financialnoob.substack.com/p/granger-causality-test-in-pairs-trading
  15. https://financialnoob.substack.com/p/cointegration-based-multivariate
  16. https://financialnoob.substack.com/p/pairs-trading-modeling-the-spread-907
  17. https://financialnoob.substack.com/p/pairs-trading-analysis-of-several
  18. https://financialnoob.substack.com/p/pairs-trading-with-kagi-indicator
  19. https://financialnoob.substack.com/p/pairs-trading-with-cointegrated-logistic
  20. https://financialnoob.substack.com/p/pairs-trading-with-partial-cointegration
  21. https://financialnoob.substack.com/p/pairs-trading-with-wavelet-transform
  22. https://financialnoob.substack.com/p/statistical-arbitrage-with-graph
  23. https://financialnoob.substack.com/p/statistical-arbitrage-with-lead-lag

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experiments with pair trading

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