- 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.
- 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.
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PDF versions are on github
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Final Report https://github.com/cxh1996108/MATH590-02/blob/main/Project/Pairs_Trading_Strategy_Final_Report.pdf
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Final Slides https://github.com/cxh1996108/MATH590-02/blob/main/Project/Pairs_Trading_Strategy_Final_Slides.pdf
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Tex for final slides https://www.overleaf.com/read/vsydgsdhssnm
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Tex for final report https://www.overleaf.com/read/zbwjnscdfznd
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Video clip of our presentation will be uploaded later
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We will implement this strategy in Chinese stock market.
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We might update our strategy in the future.
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https://shimo.im/docs/3djPY86w8rPXwrVJ/ 「Math 590-02 Algorithmic Trading」, you can open Shimo App after copying the url or small program
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https://shimo.im/docs/yXKkcxqJd8jTYW3H/ 「Notes on Algorithmic Trading and Quantitative Strategies」, you can open Shimo App after copying the url or small program
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https://shimo.im/docs/yvkCryc3PGDqYXch/ 「Kalman Filter」, you can open Shimo App after copying the url or small program