https://github.com/hudson-and-thames/arbitrage_research
Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.
https://github.com/hudson-and-thames/arbitrage_research
Last synced: 20 days ago
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Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.
- Host: GitHub
- URL: https://github.com/hudson-and-thames/arbitrage_research
- Owner: hudson-and-thames
- License: bsd-3-clause
- Created: 2020-11-07T13:37:36.000Z (over 4 years ago)
- Default Branch: master
- Last Pushed: 2024-05-02T11:18:11.000Z (about 1 year ago)
- Last Synced: 2025-04-05T14:41:55.837Z (about 1 month ago)
- Language: Jupyter Notebook
- Homepage: https://hudson-and-thames-arbitragelab.readthedocs-hosted.com/en/latest/index.html
- Size: 95.2 MB
- Stars: 109
- Watchers: 7
- Forks: 54
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
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README
-----------------
## Welcome to Arbitrage Research
Welcome to Arbitrage Research, your gateway to unlocking the potential of quantitative strategy development. Within this repository, you'll find a collection of notebooks showcasing the powerful strategies and tools available in the [arbitragelab](https://github.com/hudson-and-thames/arbitragelab) library, designed to construct mean-reverting portfolios.
Originally conceived as a research endeavor within Hudson and Thames, a pioneering quantitative research firm dedicated to implementing advanced algorithms drawn from leading academic journals and research papers, arbitragelab has long been the secret weapon of research teams within quantitative hedge funds. Now, in a groundbreaking move, the firm has opted to share this powerful resource with the global community, democratizing access for anyone passionate about developing quantitative strategies.
At its core, the library comprises meticulously crafted implementations of statistical arbitrage strategies documented in academic literature, adhering closely to [Krauss' taxonomy](https://www.econstor.eu/bitstream/10419/116783/1/833997289.pdf) of Pairs Trading Strategies.
Within this repository, each notebook offers a hands-on exploration of a specific strategy tailored to construct mean-reverting portfolios. The notebooks also provide links and references to papers where the strategy was first proposed. Feel free to check out the links to deepen your understanding of the mathematical and theoretical underpinnings behind each implementation.
## Installation
It is recommended to install this project from source using:
```bash
git clone https://github.com/hudson-and-thames/arbitrage_research.git
cd arbitrage_research
```
To install dependencies run
```bash
poetry install --no-root
```
## Contributions
As this is a community driven project we welcome any contribution to this project. Please review the contribution guidelines [here](./CONTRIBUTING.md).