cointegration

Here are 20 public repositories matching this topic...

lukstei / trading-backtest

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

java finance trading stock quantitative-finance kalman-filter backtest quantitative-trading cointegration backtesting-engine pairs-trading cointegration-strategy

Updated Jul 28, 2019
Java

JerBouma / Statistical-Arbitrage-Algorithmic-Trading

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A Project to identify statistical arbitrage opportunities between cointegrated pairs. This is referred to as 'Pairs Trading' which is a bet on the mean reversion property of the spread.

python algorithmic-trading cointegration pairs-trading statistical-arbitrage

Updated Mar 14, 2019
Jupyter Notebook

marcotav / oniricus

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Machine learning applications in Finance.

finance machine-learning r vecm stocks financial-analysis cointegration

Updated Oct 13, 2018
Jupyter Notebook

ageha-mae / Time-Series-based-Sales-Forecasting-for-Beer

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Beer national sales forecasting

beer lstm forecasting-models cointegration time-series-analysis vector-autoregression unit-root time-series-forecasting sarima imf-data-scrapper time-series-factor-analysis time-series-dimension-reduction ttb-beer-sales-usa

Updated Aug 28, 2018
Python

jeffzzzhang / pair_trading

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pair trading(stat arb), July 2017

python quant cointegration statistical-arbitrage statarb pair-trading

Updated Nov 21, 2018
Python

atecon / ADMPB

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time-series cointegration gretl hansl bootstrap-dynamic-multipliers

Updated Jan 15, 2019

osya / cointegration

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Applying Kejriwal and Perron test which is implemented in the R `strucchange` package to find cointegration breakpoints

r statistics time-series trading rstudio cointegration

Updated Apr 12, 2017
R

nutansahoo / Time-Series-Analysis-of-GDP

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gdp vecm cointegration granger-causality timeseries-analysis

Updated Dec 17, 2018

atecon / Gregory_Hansen

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time-series econometrics cointegration structural-break-test regime-shifts

Updated Jan 15, 2019

atecon / cointARDL

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bootstrap time-series cointegration gretl hansl bootstrap-cointegration-tests

Updated Jan 15, 2019
Makefile

spiderxl / sdk

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NumXL SDK

c sdk cpp statistical-methods econometrics statistical-tests net adf regression-models regression-diagnostics garch spectral-analysis statistical-models cointegration vba-toolbox factors-technique sarimax regression-automation arima-model numxl

Updated May 23, 2017
C

tramvn1996 / Bitcoin-Analysis

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

bitcoin blockchain economics cointegration

Updated Sep 10, 2018
Jupyter Notebook

Hunteram / statsmodels

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Statsmodels: statistical modeling and econometrics in Python

econometrics cointegration

Updated Sep 5, 2017
Python

andreachello / Applied-Econometric-Time-Series

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

statistics financial econometrics cointegration multivariate-regression timeseries-analysis univariate timeseries-forecasting garch-models applied-econometrics

Updated Feb 10, 2020
Jupyter Notebook

erfansalavati / trading_strategies

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Implementations of various trading strategies

time-series trading-strategies kalman-filtering cointegration bollinger-bands regime-switching

Updated Apr 5, 2019
MATLAB

AshiqZaman / Time-Series-Econometrics

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Statistical analysis with R by using financial data

bootstrap arch forecasting bayesian financial-data cointegration time-series-analysis unit-root garch-models

Updated May 22, 2020
HTML

cdcarrion / VEC_PIB

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La relación a largo plazo y la causalidad entre las exportacioens mineras, la producción industrial y el crecimiento económico en Perú: Un estudio de caso utilizando un modelo VEC

r latex reproducible reproducible-research rmarkdown var vecm cointegration