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.

A stock backtesting engine written in Java. And a pairs trading (cointegration) strategy implementation using a bayesian kalman filter model

Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM

A repository to explore the concepts of applied econometrics in the context of financial time-series.

C# Console Application: Asks for two files containing historical financial data in the same format as files from Yahoo Finance. Performs the two-step Engel-Granger Test for Cointegration and simulates profits of applying the Pairs Trading Strategy to these stocks. To Project further Includes code to conduct statistical inference and a Function t…

Pair Trading Analysis & Exercises Toolkit [Jupyter Notebook]

Statistics and performance metrics in trading, CAGR, Sharpe, MAE, MFE, and others. Cointegration and option pricing.

Machine learning applications in Finance.

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.

Beer national sales forecasting

Implementations of various trading strategies

An R package to implement VEC models

R finance guide - Algotrading101

Shiny app deployed on shinyapps.io and embedded in an R package for easy install where I explore the cointegrating relationship among LIBOR interbank rates

R Time series packages not included in CRAN Task View: Time Series Analysis

pair trading(stat arb), July 2017

A co-integration analysis that focuses on analyzing different factors affecting Bitcoin's price

Statsmodels: statistical modeling and econometrics in Python

Pairs Trading screening with cointegration in R