MATH590-02

Duke University Math590-02 Algorithmic Trading Spring 2021

Update

• Add most of the code.
• Kalman_Filter.ipynb and test.ipynb are not available due to no spare research node. Might be updated in the furue.
• We are not able to download Jupyter Notebook from QuantConnect.

Pairs Trading Strategy

Group 6 Members

• Hungwei Chang [email protected]
• Jiaxin Li [email protected]
• Tianpei Zhu [email protected]
• Xiaohan Cheng [email protected]
• Yanlin Chen [email protected]
• Yuanhang Zhao [email protected]

Feel free to contact us for ideas, codes and other resources you need.

Final Report and Slides

• PDF versions are on github

• Final Report https://github.com/cxh1996108/MATH590-02/blob/main/Project/Pairs_Trading_Strategy_Final_Report.pdf

• Final Slides https://github.com/cxh1996108/MATH590-02/blob/main/Project/Pairs_Trading_Strategy_Final_Slides.pdf

• Tex for final slides https://www.overleaf.com/read/vsydgsdhssnm

• Tex for final report https://www.overleaf.com/read/zbwjnscdfznd

• Video clip of our presentation will be uploaded later

Future Work

• We will implement this strategy in Chinese stock market.

• We might update our strategy in the future.

My Notes

• https://shimo.im/docs/3djPY86w8rPXwrVJ/ 「Math 590-02 Algorithmic Trading」, you can open Shimo App after copying the url or small program

• https://shimo.im/docs/yXKkcxqJd8jTYW3H/ 「Notes on Algorithmic Trading and Quantitative Strategies」, you can open Shimo App after copying the url or small program

• https://shimo.im/docs/yvkCryc3PGDqYXch/ 「Kalman Filter」, you can open Shimo App after copying the url or small program