This repository contains code examples from the book Algorithmic and High-Frequency Trading by Cartea, A., Sebastian, J. and Penalva, J.
This project aims to provide a hands-on programming experience for readers of the book and individuals interested in algorithmic and high-frequency trading. The codes are replicated from the examples provided in the book, aiming to solidify understanding and enable further exploration of topics discussed.
There are numerical results of improper integration and thus might cause unstable output. It is highly recommended to train a NN to fit these functions in real world practice.
The repository is structured as follows:
- Chapter 11: (Pairs Trading and Statistical Arbitrage Strategies)
Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.
(Mention the type of license if any, e.g., MIT)