Pairs Trading screening with cointegration in R
-
Updated
Feb 14, 2023 - R
Pairs Trading screening with cointegration in R
The algorithm of searching for pontential pairs trading pair
Simple test of pair-trading investment strategy (2017)
A custom-built pairs trading simulator in R to analyze different ways of coducting this type of trade on US Sector SPDRs. We assessed both commonly-used price and return correlations between assets as well as using model residuals for both ARIMA and GARCH (volatility) type time series modelling.
Shiny frontend for the pairs trade search engine.
Add a description, image, and links to the pairs-trading topic page so that developers can more easily learn about it.
To associate your repository with the pairs-trading topic, visit your repo's landing page and select "manage topics."