statistical-arbitrage

There are 35 repositories under statistical-arbitrage topic.

• quant-trading

  je-suis-tm / quant-trading

  Python quantitative trading strategies including VIX Calculator, Pattern Recognition, Commodity Trading Advisor, Monte Carlo, Options Straddle, Shooting Star, London Breakout, Heikin-Ashi, Pair Trading, RSI, Bollinger Bands, Parabolic SAR, Dual Thrust, Awesome, MACD

  trading-strategiesquantitative-tradingtrading-botquantitative-financealgorithmic-tradingmacdstatistical-arbitragebollinger-bandsmomentum-trading-strategyoptions-tradingoptions-strategiescommodity-tradingquanttrading-algorithmstrading-systemstrading-strategymomentum-strategyquantitative-trading-strategiesquantimental-analysispair-trading
  Language:Python 5496

• letianzj / QuantResearch

  Quantitative analysis, strategies and backtests

  quantitative-financequantitative-tradingportfolio-managementrisk-managementderivatives-pricingmachine-learningdeep-learningbacktesting-trading-strategiestrading-strategiesstatistical-arbitrageasset-managementasset-allocationalgotradingtrading-algorithmsfinancial-analysispairs-tradingalgorithmic-tradingdata-sciencereinforcement-learningbacktests
  Language:Jupyter Notebook 1844

• Kismuz / btgym

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

  reinforcement-learningdeep-reinforcement-learninggym-environmentopenai-gymbacktesting-trading-strategiesalgorithmic-trading-librarytime-seriesa3ctensorflowbacktraderunrealadvantage-actor-criticpolicy-optimisationpolicy-gradientquantitive-financealgoritmic-tradingstatistical-arbitragehacktoberfest
  Language:Python 980
• 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.

  algorithmalgorithmic-tradinganalysisarbitragecointegrationdual-listingfinanceoptions-arbitrageoptiverpairs-tradingpythonstatistical-arbitrage
  Language:Jupyter Notebook 840

• tibkiss / huba-v1

  Pairs Trading using Statistical Arbitrage

  algorithmic-tradingquantitative-financestatistical-arbitrage
  Language:Python 128

• bradleyboyuyang / Statistical-Arbitrage

  High-frequency statistical arbitrage

  backtesting-frameworkshigh-frequency-tradingoption-greeksornstein-uhlenbeck-processpairs-tradingstatistical-arbitragevasicekwiener-processblack-scholesbrownian-motion
  Language:Jupyter Notebook 115

• chicago-joe / InteractiveBrokers-PairsTrading-Algo

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

  python3interactive-brokersibapipairs-tradingstatistical-arbitragehftalgorithmic-tradinglivedatabacktesting-trading-strategiesbacktester-python
  Language:Python 82

• Blue-Universe / Time-Series-Analysis-Statistical-Arbitrage

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

  garch-modelsdelta-hedgingstatistical-arbitragemaximum-likelihood-estimation
  Language:Jupyter Notebook 58

• go-outside-labs / blockchain-science-rs

  👾 𝗺𝘆 𝗼𝗻-𝗰𝗵𝗮𝗶𝗻 𝗿𝗲𝘀𝗲𝗮𝗿𝗰𝗵, 𝗳𝗼𝘂𝗻𝗱𝗿𝘆 𝗯𝗼𝗶𝗹𝗲𝗿𝗽𝗹𝗮𝘁𝗲𝘀, 𝗾𝘂𝗮𝗻𝘁 𝗯𝗼𝘁𝘀, 𝗮𝗹𝗴𝗼𝗿𝗶𝘁𝗵𝗺𝘀 - 𝗿𝘂𝘀𝘁 𝗲𝗱𝗶𝘁𝗶𝗼𝗻

  arbitrage-botdexesethereummevrustsearcherstatistical-arbitragedecodermempoolboilerplatetrading-botcexdexmachine-learningcypherpunk
  Language:Solidity 53
• Pynaissance

  conquerv0 / Pynaissance

  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.

  portfolio-managementquantitative-financemathematical-financestatistical-arbitragequantamental-investmentsmarket-data-handlertechinical-analysispythonforfinance
  Language:Jupyter Notebook 25

• 5ymph0en1x / SAAT

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

  bitfinexcryptotradingstatistical-arbitragearbitrage-bot
  Language:Python 16

• arikaufman / algorithmicTrading

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

  algorithmic-tradingbacktraderstatistical-arbitragestatistics
  Language:Python 14

• SergioIommi / Quant-Trading-Dashboards

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

  dashdashboardfeature-selectionkalman-filterlinear-regressionmachine-learningmean-reversionmongodbmultivariate-regressionnosqlpair-tradingpymongoquant-tradingquantitative-tradingregressionscikit-learnstatistical-arbitragesystematic-tradingxgboostyahoo-finance
  Language:Jupyter Notebook 9

• adamd1985 / pairs_trading_unsupervised_learning

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

  algotradingclusteringmachine-learningpairs-tradingstatistical-arbitrageunsupervised-learning
  Language:Jupyter Notebook 7

• 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 4

• notabombe / Statistical-Arbitrage-in-Cryptocurrencies

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

  coingeckocoingecko-apicryptocurrenciesdata-analysisfinancemean-reversionportfolio-optimizationpythonquantitative-analysisstatistical-arbitragetrading
  Language:Python 4

• oldoldjiang / statarber

  statistic arbitrage strategy research tools

  quantalphastatistical-arbitragerhdf5multi-factormachine-learning
  Language:R 3

• rzhadev1 / statarb

  generalized pairs trading and statistical arbitrage in python.

  statistical-arbitragemodelingfinancequantitative-financepython3
  Language:Jupyter Notebook 3

• jeffzzzhang / pair_trading

  pair trading(stat arb), July 2017

  pythonstatarbstatistical-arbitragepair-tradingcointegrationquant
  Language:Python 2

• longtuge-w / Statistical-Arbitrage-Strategy

  arbitragebacktestbacktestingbacktesting-trading-strategiesfinancequantitative-financestatistical-arbitragestatistics
  Language:Python 2

• axwhyzee / stat-arb-dashboard

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

  d3js-graphmongodboanda-api-v20statistical-arbitrage
  Language:JavaScript 1

• eualezandre / Field-Project---Pairs-Trading

  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.

  long-shortpairs-tradingstatistical-arbitrage
  Language:Jupyter Notebook 0

• brianabod / fe_investing

  Iron Investing: Statistical Arbitrage for Portfolio Optimization

  financial-engineeringinvestingstatistical-arbitragestock-market
  Language:Python

• ngozzi / statarb

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

  statistical-arbitragequantitative-financecomplex-networksmachine-learningnetwork-filtering
  Language:Jupyter Notebook