This is a project I completed during my course in Numerical analysis in the Master of Mathematical Finance program at the University of Toronto.
The idea was to use Monte Carlo simulation to simulate the spread between Pepsi and coke, and formulate a simple pair trading strategy.
The emphasis was not so much on the trading strategy, but rather on the stochastic path simulation with embedded correlation and mean-reversion behaviour of the spread.
The major code is in the ko_pep_pair.ipynb file. There is also a three-slide ppt to demonstrate the code.