cointegration
There are 35 repositories under cointegration topic.
JerBouma/AlgorithmicTrading
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.
lukstei/trading-backtest
A stock backtesting engine written in Java. And a pairs trading (cointegration) strategy implementation using a bayesian kalman filter model
shimonanarang/pair-trading
Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM
andreachello/Applied-Econometric-Time-Series
A repository to explore the concepts of applied econometrics in the context of financial time-series.
Tobias-Mann/Pairs-Trading-Analyzer
C# Console Application: Asks for two files containing historical financial data in the same format as files from Yahoo Finance. Performs the two-step Engel-Granger Test for Cointegration and simulates profits of applying the Pairs Trading Strategy to these stocks. To Project further Includes code to conduct statistical inference and a Function to perform the Augmented Dickey-Fuller Test for stationarity of a time series, which is part of the Engel-Granger Test for cointegration.
ozdemirozcelik/coint-tools
Pair Trading Analysis & Exercises Toolkit [Jupyter Notebook]
anthonyli01/Statistical-Arbitrage-Pairs-Trading-Strategy
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.
marcotav/oniricus
Machine learning applications in Finance.
apoorvaa30/Time-Series-based-Sales-Forecasting-for-Beer
Beer national sales forecasting
erfansalavati/trading_strategies
Implementations of various trading strategies
AlgoTrading101/Econometrics-on-Stock-Data
R finance guide - Algotrading101
Beliavsky/R-Time-Series-Task-View-Supplement
R Time series packages not included in CRAN Task View: Time Series Analysis
GianlucaCarpigo/VECM
An R package to implement VEC models
gregorio-saporito/interest-rates
Shiny app deployed on shinyapps.io and embedded in an R package for easy install where I explore the cointegrating relationship among LIBOR interbank rates
jeffzzzhang/pair_trading
pair trading(stat arb), July 2017
Hunteram/statsmodels
Statsmodels: statistical modeling and econometrics in Python
olesyamba/Time_series
Current repository depicts R usability for time series modeling. Number of scripts represents preprocessing time series, modeling AR, MA, ARIMA with seasonality, ARCH, GARCH, VAR, VECM including statistical testing process and robust check.
osya/cointegration
Applying Kejriwal and Perron test which is implemented in the R `strucchange` package to find cointegration breakpoints
tramvn1996/Bitcoin-Analysis
A co-integration analysis that focuses on analyzing different factors affecting Bitcoin's price
vinicioalmeida/pairsTradingCointegration
Pairs Trading screening with cointegration in R
ammasjk/unitroot
Java library for testing unitroot and cointegration
AshiqZaman/Time-Series-Econometrics
Statistical analysis with R by using financial data
BitcoinElf/stata-reproduction
This repository contains the do-files for all my statistical analyses published in Twitter or elsewhere.
cdcarrion/VEC_PIB
La relación a largo plazo y la causalidad entre las exportacioens mineras, la producción industrial y el crecimiento económico en Perú: Un estudio de caso utilizando un modelo VEC
ejb1987/R_Econometric
This repository contains an RMarkdown file that performs an econometric analysis of soybean prices using various statistical methods, including cointegration tests, ECM, and GARCH models.
leeway00/non-linear-cointegration
Non-Linear Cointegration in Pairs Trading
spiderxl/sdk
NumXL SDK
left-nullspace/cointegration-exploration-python
This project explores pairs trading as a market-neutral strategy by leveraging statistical relationships between cointegrated assets to exploit mean-reverting behavior. inspired and adapted from the quant trading room
vladislavpyatnitskiy/fintseries
Financial Time Series Analysis