/Statistical-Arbitrage-Strategy

The goal of this project is to implement a statistical arbitrage strategy as proposed in [Avellaneda and Lee 2010] and examine the strategy performance over a universe of 40 crypto currencies (or, tokens).

Primary LanguagePythonMIT LicenseMIT

Statistical-Arbitrage-Strategy

The goal of this project is to implement a stat-arb strategy as proposed in [Avellaneda and Lee 2010] and examine the strategy performance over a universe of 40 crypto currencies (or, tokens).