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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
Projeto de Field Project na Oráma Investimentos que visa o desenvolvimento de mecanismos de arbitragem estatística com estratégia de pairs trading no mercado de ações.
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.
Built a pairs trading strategy in emerging markets using a rolling Kalman-filter beta and spread half-life, with z-score position sizing, and comprehensive back-testing with liquidity adjustments and transaction cost analysis for enhanced risk management
A walk through the frameworks of Python in Finance. The repository is currently in the development phase. The finalized version will include a full-fledged integration and utilization of Quantopian, GS-Quant, WRDS API and their relevant datasets and analytics.