Pair Trading View - application for visual analysis of synthetic financial instruments based on statistical models.
[ PairTradingView.WpfApp ]
Execute PairTradingView.exe in 'pair-trading-view\PairTradingView.WpfApp\bin\Debug'.
Set 'Price' column. Put csv files with a historical data into 'pair-trading-view\PairTradingView.WpfApp\bin\Debug\csv-files' folder. Press 'Load Data From File'. Press 'Calculate'.
- SI -> synthetic index
- s -> share
- fp -> financial pair
- fp_tv -> financial pair's trade volume
- fp_w -> weight of financial pair
SI_t = ( s1_t + s2_t + s3_t + ... + sn_t ) / n
SI = α + β * fp + err
Financial pair's weight has reverse dependency of β.
fp_w = (1 / (1 + abs(β))) / Σ(fp_w)
fp_tv = balance * fp_w
Calculate trade volume for each share:
fp_tv = x_tv + y_tv
y = α + β * x + err
w = 1.0 / (1.0 + abs(β)
x_tv = fp_tv * w * abs(β)
y_tv = fp_tv * w
- OxyPloy