R Time series packages not included in CRAN Task View: Time Series Analysis
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Updated
Sep 10, 2024
R Time series packages not included in CRAN Task View: Time Series Analysis
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.
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.
This project explores pairs trading as a market-neutral strategy by leveraging statistical relationships between cointegrated assets to exploit mean-reverting behavior. inspired and adapted from the quant trading room
An R package to implement VEC models
Non-Linear Cointegration in Pairs Trading
R finance guide - Algotrading101
Pair Trading Analysis & Exercises Toolkit [Jupyter Notebook]
Current repository depicts R usability for time series modeling. Number of scripts represents preprocessing time series, modeling AR, MA, ARIMA with seasonality, ARCH, GARCH, VAR, VECM including statistical testing process and robust check.
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.
Pairs Trading screening with cointegration in R
Java library for testing unitroot and cointegration
A stock backtesting engine written in Java. And a pairs trading (cointegration) strategy implementation using a bayesian kalman filter model
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
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…
Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM
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