cointegration

There are 3 repositories under cointegration topic.

• AlgorithmicTrading

  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.

  cointegrationstatistical-arbitragealgorithmic-tradingpairs-tradingpythondual-listingoptions-arbitrageanalysisalgorithmoptiverarbitragefinance
  Language:Jupyter Notebook 809

• lukstei / trading-backtest

  A stock backtesting engine written in Java. And a pairs trading (cointegration) strategy implementation using a bayesian kalman filter model

  backtestbacktesting-enginecointegrationcointegration-strategyfinancejavakalman-filterpairs-tradingquantitative-financequantitative-tradingstocktrading
  Language:Java 318

• shimonanarang / pair-trading

  Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM

  cointegrationlstm-neural-networksmean-reversionpair-tradingpair-trading-strategy
  Language:Python 42
• Applied-Econometric-Time-Series

  andreachello / Applied-Econometric-Time-Series

  A repository to explore the concepts of applied econometrics in the context of financial time-series.

  applied-econometricscointegrationeconometricsfinancialgarch-modelsmultivariate-regressionstatisticstimeseries-analysistimeseries-forecastingunivariate
  Language:Jupyter Notebook 29

• 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.

  tradingmultiple-linear-regressionaugmented-dickey-fuller-testengel-granger-testcointegrationcsharp
  Language:C# 18

• ozdemirozcelik / coint-tools

  Pair Trading Analysis & Exercises Toolkit [Jupyter Notebook]

  cointegrationdickey-fullerjupyter-notebookpair-tradingphillips-perronengle-granger
  Language:Jupyter Notebook 13

• marcotav / oniricus

  Machine learning applications in Finance.

  financercointegrationvecmfinancial-analysisstocksmachine-learning
  Language:Jupyter Notebook 8

• apoorvaa30 / Time-Series-based-Sales-Forecasting-for-Beer

  Beer national sales forecasting

  time-series-analysislstmsarimaunit-rootvector-autoregressioncointegrationimf-data-scrappertime-series-factor-analysistime-series-dimension-reductionforecasting-modelstime-series-forecastingttb-beer-sales-usabeer
  Language:Python 6

• erfansalavati / trading_strategies

  Implementations of various trading strategies

  trading-strategieskalman-filteringtime-seriesregime-switchingcointegrationbollinger-bands
  Language:MATLAB 4

• 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

  shinycointegrationinterest-rates
  Language:R 4

• AlgoTrading101 / Econometrics-on-Stock-Data

  R finance guide - Algotrading101

  algotrading101cointegrationcorrelationfinancefinancial-analysisgranger-causalityrstationaritystocktime-seriestimeseries
  Language:R 3

• GianlucaCarpigo / VECM

  An R package to implement VEC models

  cointegrationeconometricsmultivariate-timeseriesvecmforecastinggranger-causality
  Language:R 3

• nutansahoo / Time-Series-Analysis-of-GDP

  timeseries-analysisgranger-causalitycointegrationvecmgdp
  3

• jeffzzzhang / pair_trading

  pair trading(stat arb), July 2017

  pythonstatarbstatistical-arbitragepair-tradingcointegrationquant
  Language:Python 2

• 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.

  cointegrationpairs-tradingstatistical-arbitragetime-series
  Language:Jupyter Notebook 1

• atecon / ADMBP

  time-seriescointegrationgretlhanslbootstrap-dynamic-multipliers
  Language:Makefile 1

• BitcoinElf / stata-reproduction

  This repository contains the do-files for all my statistical analyses published in Twitter or elsewhere.

  trading-strategiesstatisticscointegration
  Language:Stata 1

• Hunteram / statsmodels

  Statsmodels: statistical modeling and econometrics in Python

  econometricscointegration
  Language:Python 1

• 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.

  acf-pacfarcharimaautocorrelationcointegrationgarchhypothesis-testingrstudioseasonal-adjustmenttime-series-analysisvector-autoregression-modelsvector-error-correction-model
  Language:R 1

• osya / cointegration

  Applying Kejriwal and Perron test which is implemented in the R `strucchange` package to find cointegration breakpoints

  rstatisticstime-seriescointegrationtradingrstudio
  Language:R 1

• tramvn1996 / Bitcoin-Analysis

  A co-integration analysis that focuses on analyzing different factors affecting Bitcoin's price

  bitcoinblockchaineconomicscointegration
  Language:Jupyter Notebook 1

• vinicioalmeida / pairsTrading

  Pairs Trading screening with cointegration in R

  cointegrationpairs-tradingr
  Language:R 1

• ammasjk / unitroot

  Java library for testing unitroot and cointegration

  cointegrationjavatimeseriesunitroot
  Language:Java 0

• AshiqZaman / Time-Series-Econometrics

  Statistical analysis with R by using financial data

  garch-modelsbootstrapbayesianunit-rootcointegrationforecastingarchtime-series-analysisfinancial-data
  Language:HTML 0

• 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

  vecmvarcointegrationreproducible-researchlatexrreproduciblermarkdown
  Language:R 0

• leeway00 / non-linear-cointegration

  Non-Linear Cointegration in Pairs Trading

  cointegrationpairs-trading
  Language:Jupyter Notebook 0

• mariometrics / gretl_exercises

  gretlcointegrationgarchmacroeconomicsquantitative-financeeconometrics
  0

• spiderxl / sdk

  NumXL SDK

  numxlsdkstatistical-methodsstatistical-modelseconometricsstatistical-testsfactors-techniquespectral-analysisarima-modelgarchsarimaxcointegrationadfregression-modelsregression-diagnosticsregression-automationnetvba-toolboxcppc
  Language:C 0

• atecon / cointARDL

  time-seriescointegrationbootstrap-cointegration-testsbootstrapgretlhansl
  Language:Makefile

• atecon / Gregory_Hansen

  time-seriescointegrationstructural-break-testeconometricsregime-shifts
  Language:Shell

• dcuoliveira / ESOBE21-SGD

  exchange-ratessingaporemasmf-bvarbayesianerror-correction-modelscointegrationbvecmbecmbvar
  Language:R