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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.
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…
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.
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
This repository contains an RMarkdown file that performs an econometric analysis of soybean prices using various statistical methods, including cointegration tests, ECM, and GARCH models.