cyberpunk256 / Clustering-for-pair-trading

Clustering-for-pair-trading

1. Collect S&P500 stocks from Yahoo Finance
2. Data wrangling(missing values, calculate vol)
3. Implement 3 ML models on data such as a)K-Means Clustering, b)Affinity Propagation Clustering and c) Hierarchical Clustering
4. Evaluate the result of models by the silhouette score
5. Extract the trading pairs by testing a cointegration on clusters