statistic arbitrage strategy research tools

pair trading(stat arb), July 2017

Identify and trade statistical arbitrage opportunities between cointegrated pairs using Bitfinex API

This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.

Official repository for the team "FinNet Folks" at the CNWW 2021 (https://vermontcomplexsystems.org/events/cnww/)

Scalable, event-driven, deep-learning-friendly backtesting library

A high-frequency trading model using Interactive Brokers API with pairs and mean-reversion in Python

Pairs Trading using Statistical Arbitrage

Experimenting with Algo Trading using Backtrader Python Module. Specifically, statistical arbitrage using cointegration.

Projeto de Field Project na Oráma Investimentos que visa o desenvolvimento de mecanismos de arbitragem estatística com estratégia de pairs trading no mercado de ações.

High-frequency statistical arbitrage

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 walk through the frameworks of Python in Finance. The repository is currently in the development phase. The finalized version will include a full-fledged integration and utilization of Quantopian, GS-Quant, WRDS API and their relevant datasets and analytics.

Quantitative analysis, strategies and backtests

The goal of this project is to develop a statistical arbitrage strategy for cryptocurrencies using Python

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.

Equities Pair Trading/Statistical Arbitrage and Multi-Variable Index Regression

generalized pairs trading and statistical arbitrage in python.

Visualize FX arbitrage portfolios. Form a portfolio by selecting a set instruments and corresponding beta values, using live FX data from OANDA.

The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimization