Index

_

__call__() (DataCursor method) (HighlightingDataCursor method) (IndexedHighlight method) __license__ (in module arbitragelab.util.data_cursor) __slots__ (AbstractPairsSelector attribute) (CFGMixCop attribute) (Clayton attribute) (CointegratedPortfolio attribute) (CointegrationSpreadSelector attribute) (Copula attribute) (CTGMixCop attribute) (EngleGrangerPortfolio attribute) (Frank attribute) (GaussianCopula attribute) (Gumbel attribute) (Joe attribute) (JohansenPortfolio attribute) (MixedCopula attribute) (N13 attribute) (N14 attribute) (StudentCopula attribute)

A

absolute_angular_distance() (in module arbitragelab.codependence.correlation) AbstractPairsSelector (class in arbitragelab.spread_selection.base) add_trade() (BasicCopulaTradingRule method) (BollingerBandsTradingRule method) (MinimumProfitTradingRule method) (MultivariateCointegrationTradingRule method) adjust_weights() (in module arbitragelab.copula_approach.copula_calculation) aic() (CVineCop method) (in module arbitragelab.copula_approach.copula_calculation) angular_distance() (in module arbitragelab.codependence.correlation) annotate() (DataCursor method) (HighlightingDataCursor method) (IndexedHighlight method) apply_filtering_rules() (CointegrationSpreadSelector method) arbitragelab module arbitragelab.codependence module arbitragelab.codependence.codependence_matrix module arbitragelab.codependence.correlation module arbitragelab.codependence.gnpr_distance module arbitragelab.codependence.information module arbitragelab.codependence.optimal_transport module arbitragelab.cointegration_approach module arbitragelab.cointegration_approach.base module arbitragelab.cointegration_approach.coint_sim module arbitragelab.cointegration_approach.engle_granger module arbitragelab.cointegration_approach.johansen module arbitragelab.cointegration_approach.minimum_profit module arbitragelab.cointegration_approach.multi_coint module arbitragelab.cointegration_approach.sparse_mr_portfolio module arbitragelab.cointegration_approach.utils module arbitragelab.copula_approach module arbitragelab.copula_approach.archimedean module arbitragelab.copula_approach.archimedean.clayton module arbitragelab.copula_approach.archimedean.frank module arbitragelab.copula_approach.archimedean.gumbel module arbitragelab.copula_approach.archimedean.joe module arbitragelab.copula_approach.archimedean.n13 module arbitragelab.copula_approach.archimedean.n14 module arbitragelab.copula_approach.base module arbitragelab.copula_approach.copula_calculation module arbitragelab.copula_approach.elliptical module arbitragelab.copula_approach.elliptical.gaussian module arbitragelab.copula_approach.elliptical.student module arbitragelab.copula_approach.mixed_copulas module arbitragelab.copula_approach.mixed_copulas.base module arbitragelab.copula_approach.mixed_copulas.cfg_mix_copula module arbitragelab.copula_approach.mixed_copulas.ctg_mix_copula module arbitragelab.copula_approach.pairs_selection module arbitragelab.copula_approach.vine_copula_partner_selection module arbitragelab.copula_approach.vine_copula_partner_selection_utils module arbitragelab.copula_approach.vinecop_generate module arbitragelab.copula_approach.vinecop_strategy module arbitragelab.distance_approach module arbitragelab.distance_approach.basic_distance_approach module arbitragelab.distance_approach.pearson_distance_approach module arbitragelab.hedge_ratios module arbitragelab.hedge_ratios.adf_optimal module arbitragelab.hedge_ratios.box_tiao module arbitragelab.hedge_ratios.half_life module

arbitragelab.hedge_ratios.johansen module arbitragelab.hedge_ratios.linear module arbitragelab.hedge_ratios.spread_construction module arbitragelab.ml_approach module arbitragelab.ml_approach.feature_expander module arbitragelab.ml_approach.filters module arbitragelab.ml_approach.neural_networks module arbitragelab.ml_approach.optics_dbscan_pairs_clustering module arbitragelab.ml_approach.regressor_committee module arbitragelab.ml_approach.tar module arbitragelab.optimal_mean_reversion module arbitragelab.optimal_mean_reversion.cir_model module arbitragelab.optimal_mean_reversion.heat_potentials module arbitragelab.optimal_mean_reversion.ou_model module arbitragelab.optimal_mean_reversion.xou_model module arbitragelab.other_approaches module arbitragelab.other_approaches.kalman_filter module arbitragelab.other_approaches.pca_approach module arbitragelab.spread_selection module arbitragelab.spread_selection.base module arbitragelab.spread_selection.cointegration module arbitragelab.stochastic_control_approach module arbitragelab.stochastic_control_approach.optimal_convergence module arbitragelab.stochastic_control_approach.ou_model_jurek module arbitragelab.stochastic_control_approach.ou_model_mudchanatongsuk module arbitragelab.tearsheet module arbitragelab.tearsheet.tearsheet module arbitragelab.time_series_approach module arbitragelab.time_series_approach.arima_predict module arbitragelab.time_series_approach.h_strategy module arbitragelab.time_series_approach.ou_optimal_threshold module arbitragelab.time_series_approach.ou_optimal_threshold_bertram module arbitragelab.time_series_approach.ou_optimal_threshold_zeng module arbitragelab.time_series_approach.quantile_time_series module arbitragelab.time_series_approach.regime_switching_arbitrage_rule module arbitragelab.trading module arbitragelab.trading.basic_copula module arbitragelab.trading.copula_strategy_mpi module arbitragelab.trading.minimum_profit module arbitragelab.trading.multi_coint module arbitragelab.trading.z_score module arbitragelab.util module arbitragelab.util.base_futures_roller module arbitragelab.util.data_cursor module arbitragelab.util.data_importer module arbitragelab.util.generate_dataset module arbitragelab.util.indexed_highlight module arbitragelab.util.rollers module arbitragelab.util.spread_modeling_helper module asset_df (MultivariateCointegration property) assets (SparseMeanReversionPortfolio property) AutoARIMAForecast (class in arbitragelab.time_series_approach.arima_predict) autocov() (SparseMeanReversionPortfolio method)

B

BaseFuturesRoller (class in arbitragelab.util.base_futures_roller) BaseNeuralNetwork (class in arbitragelab.ml_approach.neural_networks) BasicCopulaTradingRule (class in arbitragelab.trading.basic_copula) bic() (CVineCop method)

BollingerBandsTradingRule (class in arbitragelab.trading.z_score) box_tiao() (SparseMeanReversionPortfolio method) build() (MultiLayerPerceptron method) (PiSigmaNeuralNetwork method) (RecurrentNeuralNetwork method)

C

C() (CFGMixCop method) c() (CFGMixCop method) C() (Clayton method) c() (Clayton method) C() (Copula method) c() (Copula method) C() (CTGMixCop method) c() (CTGMixCop method) C() (Frank method) c() (Frank method) C() (GaussianCopula method) c() (GaussianCopula method) C() (Gumbel method) c() (Gumbel method) C() (Joe method) c() (Joe method) C() (MixedCopula method) c() (MixedCopula method) C() (N13 method) c() (N13 method) C() (N14 method) c() (N14 method) C() (StudentCopula method) c() (StudentCopula method) calc_log_price() (MultivariateCointegration static method) (MultivariateCointegrationTradingRule static method) calc_mpi() (CVineCopStrat method) (MPICopulaTradingRule method) calc_price_diff() (MultivariateCointegration static method) CFGMixCop (class in arbitragelab.copula_approach.mixed_copulas.cfg_mix_copula) change_strategy() (RegimeSwitchingArbitrageRule method) check_entry_signal() (BasicCopulaTradingRule method) (BollingerBandsTradingRule method) (MinimumProfitTradingRule method) check_fit() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) (OrnsteinUhlenbeck method) check_symmetric() (SparseMeanReversionPortfolio static method) cir_description() (CoxIngersollRoss method) cir_model_simulation() (CoxIngersollRoss method) cir_plot_levels() (CoxIngersollRoss method) Clayton (class in arbitragelab.copula_approach.archimedean.clayton)

cluster_using_dbscan() (OPTICSDBSCANPairsClustering method) cluster_using_optics() (OPTICSDBSCANPairsClustering method) CointegratedPortfolio (class in arbitragelab.cointegration_approach.base) cointegration_tearsheet() (TearSheet method) CointegrationSimulation (class in arbitragelab.cointegration_approach.coint_sim) CointegrationSpreadSelector (class in arbitragelab.spread_selection.cointegration) collection_props() (in module arbitragelab.util.data_cursor) condi_cdf() (CFGMixCop method) (Clayton method) (Copula method) (CTGMixCop method) (Frank method) (GaussianCopula method) (Gumbel method) (Joe method) (MixedCopula method) (N13 method) (N14 method) (StudentCopula method) construct_ecdf_lin() (in module arbitragelab.copula_approach.copula_calculation) construct_mean_reverting_portfolio() (CointegratedPortfolio method) (EngleGrangerPortfolio method) (JohansenPortfolio method) construct_ou_model_from_given_parameters() (OUModelOptimalThreshold method) (OUModelOptimalThresholdBertram method) (OUModelOptimalThresholdZeng method) construct_spread() (in module arbitragelab.hedge_ratios.spread_construction) (MinimumProfit static method) construct_spreads() (CointegrationSpreadSelector method) convert_filter_events_to_metrics() (SpreadModelingHelper static method) Copula (class in arbitragelab.copula_approach.base) CorrelationFilter (class in arbitragelab.ml_approach.filters) count_number_crossing() (DistanceStrategy method) covar_sparse_fit() (SparseMeanReversionPortfolio method) covar_sparse_tuning() (SparseMeanReversionPortfolio method) CoxIngersollRoss (class in arbitragelab.optimal_mean_reversion.cir_model) create_highlight() (HighlightingDataCursor method) (IndexedHighlight method) CrudeOilFutureRoller (class in arbitragelab.util.rollers) CTGMixCop (class in arbitragelab.copula_approach.mixed_copulas.ctg_mix_copula) CVineCop (class in arbitragelab.copula_approach.vinecop_generate) CVineCopStrat (class in arbitragelab.copula_approach.vinecop_strategy)

D

DataCursor (class in arbitragelab.util.data_cursor) DataImporter (class in arbitragelab.util.data_importer) default_annotation_kwargs (DataCursor attribute) (HighlightingDataCursor attribute) (IndexedHighlight attribute) default_keybindings (DataCursor attribute) (HighlightingDataCursor attribute) (IndexedHighlight attribute) delta_neutral_portfolio_weights_continuous() (OptimalConvergence method) demeaned (SparseMeanReversionPortfolio property) describe() (CFGMixCop method) (Clayton method) (Copula method) (CTGMixCop method) (Frank method) (GaussianCopula method) (Gumbel method) (Joe method) (MixedCopula method) (N13 method) (N14 method) (OptimalConvergence method) (OUModelJurek method) (OUModelMudchanatongsuk method) (StudentCopula method)

description() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) (HeatPotentials method) (OrnsteinUhlenbeck method) diagnostic_summary() (BaseFuturesRoller method) (CrudeOilFutureRoller method) (EthanolFutureRoller method) (GrainFutureRoller method) (NBPFutureRoller method) (RBFutureRoller method) diagonal_measure_vectorized() (in module arbitragelab.copula_approach.vine_copula_partner_selection_utils) dimensionality_reduction_by_components() (OPTICSDBSCANPairsClustering method) disable() (DataCursor method) (HighlightingDataCursor method) (IndexedHighlight method) distance_correlation() (in module arbitragelab.codependence.correlation) DistanceStrategy (class in arbitragelab.distance_approach.basic_distance_approach)

E

enable() (DataCursor method) (HighlightingDataCursor method) (IndexedHighlight method) enabled (DataCursor attribute) (HighlightingDataCursor attribute) (IndexedHighlight attribute) EngleGrangerPortfolio (class in arbitragelab.cointegration_approach.engle_granger) errorbar_props() (in module arbitragelab.util.data_cursor) EthanolFutureRoller (class in arbitragelab.util.rollers) euc_distance() (PairsSelector static method) event_info() (DataCursor method) (HighlightingDataCursor method) (IndexedHighlight method)

expected_return() (OUModelOptimalThresholdBertram method) (OUModelOptimalThresholdZeng method) expected_trade_length() (OUModelOptimalThresholdBertram method) (OUModelOptimalThresholdZeng method) ExponentialOrnsteinUhlenbeck (class in arbitragelab.optimal_mean_reversion.xou_model) extend_series() (HConstruction method) extended() (PartnerSelection method) extremal() (PartnerSelection method) extremal_measure() (in module arbitragelab.copula_approach.vine_copula_partner_selection_utils)

F

FeatureExpander (class in arbitragelab.ml_approach.feature_expander) fillna_inplace() (MultivariateCointegration method) find_clusters() (SparseMeanReversionPortfolio method) find_marginal_cdf() (in module arbitragelab.copula_approach.copula_calculation) find_pair() (DistanceStrategy static method) find_portfolios() (DistanceStrategy static method) find_volatility() (DistanceStrategy static method) fit() (BaseFuturesRoller method) (BaseNeuralNetwork method) (CFGMixCop method) (Clayton method) (Copula method) (CorrelationFilter method) (CoxIngersollRoss method) (CrudeOilFutureRoller method) (CTGMixCop method) (EngleGrangerPortfolio method) (EthanolFutureRoller method) (ExponentialOrnsteinUhlenbeck method) (FeatureExpander method) (Frank method) (GaussianCopula method) (GrainFutureRoller method) (Gumbel method) (HeatPotentials method) (Joe method) (JohansenPortfolio method) (MinimumProfit method) (MixedCopula method) (MultiLayerPerceptron method) (MultivariateCointegration method) (N13 method) (N14 method) (NBPFutureRoller method) (OptimalConvergence method) (OrnsteinUhlenbeck method) (OUModelJurek method) (OUModelMudchanatongsuk method) (PiSigmaNeuralNetwork method) (RBFutureRoller method) (RecurrentNeuralNetwork method) (RegressorCommittee method) (StudentCopula method) (TAR method) (ThresholdFilter method) (VolatilityFilter method)

fit_auto() (CVineCop method) fit_copula_to_empirical_data() (in module arbitragelab.copula_approach.copula_calculation) fit_nu_for_t_copula() (in module arbitragelab.copula_approach.elliptical.student) fit_ou_model_to_data() (OUModelOptimalThreshold method) (OUModelOptimalThresholdBertram method) (OUModelOptimalThresholdZeng method) fit_thresholds() (QuantileTimeSeriesTradingStrategy method) fit_to_assets() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) (OrnsteinUhlenbeck method) fit_to_portfolio() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) (OrnsteinUhlenbeck method) fit_transform() (ThresholdFilter method) (VolatilityFilter method) form_pairs() (DistanceStrategy method) form_portfolio() (PearsonStrategy method) Frank (class in arbitragelab.copula_approach.archimedean.frank)

G

GaussianCopula (class in arbitragelab.copula_approach.elliptical.gaussian) generate_diagnostic_frame() (BaseFuturesRoller method) (CrudeOilFutureRoller method) (EthanolFutureRoller method) (GrainFutureRoller method) (NBPFutureRoller method) (RBFutureRoller method) generate_spread_statistics() (CointegrationSpreadSelector method) geometric() (PartnerSelection method) get_adf_optimal_hedge_ratio() (in module arbitragelab.hedge_ratios.adf_optimal) get_all_possible_static_dates_in() (BaseFuturesRoller static method) (CrudeOilFutureRoller static method) (EthanolFutureRoller static method) (GrainFutureRoller static method) (NBPFutureRoller static method) (RBFutureRoller static method) get_allocation() (QuantileTimeSeriesTradingStrategy method) get_available_date_per_month_from() (BaseFuturesRoller static method) (CrudeOilFutureRoller static method) (EthanolFutureRoller static method) (GrainFutureRoller static method) (NBPFutureRoller static method) (RBFutureRoller static method) get_best_arima_model() (AutoARIMAForecast method) get_beta_dict() (PearsonStrategy method) get_box_tiao_hedge_ratio() (in module arbitragelab.hedge_ratios.box_tiao) get_classification_data() (in module arbitragelab.util.generate_dataset) get_co_variance_matrix() (in module arbitragelab.copula_approach.vine_copula_partner_selection_utils) get_coint_params() (CointegrationSimulation method) get_coint_vec() (MultivariateCointegration method) get_condi_prob() (CFGMixCop method) (Clayton method) (Copula method) (CTGMixCop method) (Frank method) (GaussianCopula method) (Gumbel method) (Joe method) (MixedCopula method) (N13 method) (N14 method) (StudentCopula method) get_condi_probs() (CVineCop method) (MPICopulaTradingRule method) get_cop_densities() (CVineCop method) get_cop_density() (CFGMixCop method) (Clayton method) (Copula method) (CTGMixCop method) (Frank method) (GaussianCopula method) (Gumbel method) (Joe method) (MixedCopula method) (N13 method) (N14 method) (StudentCopula method) get_cop_eval() (CFGMixCop method) (Clayton method) (Copula method) (CTGMixCop method) (Frank method) (GaussianCopula method) (Gumbel method) (Joe method) (MixedCopula method) (N13 method) (N14 method) (StudentCopula method) get_cop_evals() (CVineCop method) get_cur_pos_bollinger() (CVineCopStrat method) get_cur_signal_bollinger() (CVineCopStrat static method) get_dependence_matrix() (in module arbitragelab.codependence.codependence_matrix) get_distance_matrix() (in module arbitragelab.codependence.codependence_matrix) get_dow_tickers() (DataImporter static method) get_factorweights() (PCAStrategy method) get_filtering_results() (SpreadModelingHelper method)

get_half_life_of_mean_reversion() (in module arbitragelab.cointegration_approach.utils) get_hurst_exponent() (in module arbitragelab.cointegration_approach.utils) get_johansen_hedge_ratio() (in module arbitragelab.hedge_ratios.johansen) get_log_likelihood_sum() (CFGMixCop method) (Clayton method) (Copula method) (CTGMixCop method) (Frank method) (GaussianCopula method) (Gumbel method) (Joe method) (MixedCopula method) (N13 method) (N14 method) (StudentCopula method) get_metrics() (SpreadModelingHelper method) get_minimum_hl_hedge_ratio() (in module arbitragelab.hedge_ratios.half_life) get_mutual_info() (in module arbitragelab.codependence.information) get_num_crossing() (DistanceStrategy method) get_ols_hedge_ratio() (EngleGrangerPortfolio static method) (in module arbitragelab.hedge_ratios.linear) get_optimal_levels() (MinimumProfit static method) get_optimal_number_of_bins() (in module arbitragelab.codependence.information) get_pairs() (DistanceStrategy method) (HSelection method) get_pairs_by_sector() (OPTICSDBSCANPairsClustering static method) get_pairs_dict() (PearsonStrategy method) get_portfolios() (DistanceStrategy method) get_positions_and_flags() (MPICopulaTradingRule method) get_positions_bollinger() (CVineCopStrat method) get_price_data() (DataImporter static method) get_price_params() (CointegrationSimulation method) get_quantiles_data() (in module arbitragelab.copula_approach.vine_copula_partner_selection_utils) get_residuals() (PCAStrategy method) get_returns_data() (DataImporter static method) get_scaled_cointegration_vector() (CointegratedPortfolio method) (EngleGrangerPortfolio method) (JohansenPortfolio method) get_scaling_parameters() (DistanceStrategy method) get_sector_data() (in module arbitragelab.copula_approach.vine_copula_partner_selection_utils) get_signal() (MultivariateCointegrationTradingRule method) (RegimeSwitchingArbitrageRule method) get_signals() (DistanceStrategy method) (HConstruction method) (PCAStrategy method) (RegimeSwitchingArbitrageRule method) get_sp500_tickers() (DataImporter static method) get_sscores() (PCAStrategy static method) get_sum_correlations_vectorized() (in module arbitragelab.copula_approach.vine_copula_partner_selection_utils) get_threshold_by_conventional_optimal_rule() (OUModelOptimalThresholdZeng method) get_threshold_by_maximize_expected_return() (OUModelOptimalThresholdBertram method) get_threshold_by_maximize_sharpe_ratio() (OUModelOptimalThresholdBertram method) get_threshold_by_new_optimal_rule() (OUModelOptimalThresholdZeng method) get_ticker_sector_info() (DataImporter method) get_tls_hedge_ratio() (in module arbitragelab.hedge_ratios.linear) get_trades() (RegimeSwitchingArbitrageRule method) get_trading_signal() (PearsonStrategy method) get_trend_order() (in module arbitragelab.time_series_approach.arima_predict) get_x_days_prior_available_target_date() (BaseFuturesRoller static method) (CrudeOilFutureRoller static method) (EthanolFutureRoller static method) (GrainFutureRoller static method) (NBPFutureRoller static method) (RBFutureRoller static method) get_x_days_prior_missing_target_date() (BaseFuturesRoller static method) (CrudeOilFutureRoller static method) (EthanolFutureRoller static method) (GrainFutureRoller static method) (NBPFutureRoller static method) (RBFutureRoller static method) get_xy() (in module arbitragelab.util.data_cursor) get_z_score() (BollingerBandsTradingRule static method) gnpr_distance() (in module arbitragelab.codependence.gnpr_distance) gpr_distance() (in module arbitragelab.codependence.gnpr_distance) GrainFutureRoller (class in arbitragelab.util.rollers) greedy_search() (SparseMeanReversionPortfolio static method) Gumbel (class in arbitragelab.copula_approach.archimedean.gumbel)

H

h_distances() (HConstruction method) h_inversion() (HConstruction method) h_volatility() (HConstruction method) half_life() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) (OrnsteinUhlenbeck method) HConstruction (class in arbitragelab.time_series_approach.h_strategy)

HeatPotentials (class in arbitragelab.optimal_mean_reversion.heat_potentials) hide() (DataCursor method) (HighlightingDataCursor method) (IndexedHighlight method) HighlightingDataCursor (class in arbitragelab.util.data_cursor) hqic() (in module arbitragelab.copula_approach.copula_calculation) HSelection (class in arbitragelab.time_series_approach.h_strategy)

I

image_props() (in module arbitragelab.util.data_cursor) IndexedHighlight (class in arbitragelab.util.indexed_highlight)

initialize_params() (CointegrationSimulation static method) is_semi_pos_def() (SparseMeanReversionPortfolio static method)

J

Joe (class in arbitragelab.copula_approach.archimedean.joe)

JohansenPortfolio (class in arbitragelab.cointegration_approach.johansen)

K

KalmanFilterStrategy (class in arbitragelab.other_approaches.kalman_filter)

kendall_tau() (PairsSelector static method) kullback_leibler_distance() (in module arbitragelab.codependence.correlation)

L

LASSO_VAR_fit() (SparseMeanReversionPortfolio method) LASSO_VAR_tuning() (SparseMeanReversionPortfolio method) least_square_VAR_fit() (SparseMeanReversionPortfolio method)

line_props() (in module arbitragelab.util.data_cursor) load_params() (CointegrationSimulation method) loglik() (CVineCop method)

M

mean_rev_coeff() (SparseMeanReversionPortfolio static method) MinimumProfit (class in arbitragelab.cointegration_approach.minimum_profit) MinimumProfitTradingRule (class in arbitragelab.trading.minimum_profit) MixedCopula (class in arbitragelab.copula_approach.mixed_copulas.base) module arbitragelab arbitragelab.codependence arbitragelab.codependence.codependence_matrix arbitragelab.codependence.correlation arbitragelab.codependence.gnpr_distance arbitragelab.codependence.information arbitragelab.codependence.optimal_transport arbitragelab.cointegration_approach arbitragelab.cointegration_approach.base arbitragelab.cointegration_approach.coint_sim arbitragelab.cointegration_approach.engle_granger arbitragelab.cointegration_approach.johansen arbitragelab.cointegration_approach.minimum_profit arbitragelab.cointegration_approach.multi_coint arbitragelab.cointegration_approach.sparse_mr_portfolio arbitragelab.cointegration_approach.utils arbitragelab.copula_approach arbitragelab.copula_approach.archimedean arbitragelab.copula_approach.archimedean.clayton arbitragelab.copula_approach.archimedean.frank arbitragelab.copula_approach.archimedean.gumbel arbitragelab.copula_approach.archimedean.joe arbitragelab.copula_approach.archimedean.n13 arbitragelab.copula_approach.archimedean.n14 arbitragelab.copula_approach.base arbitragelab.copula_approach.copula_calculation arbitragelab.copula_approach.elliptical arbitragelab.copula_approach.elliptical.gaussian arbitragelab.copula_approach.elliptical.student arbitragelab.copula_approach.mixed_copulas arbitragelab.copula_approach.mixed_copulas.base arbitragelab.copula_approach.mixed_copulas.cfg_mix_copula arbitragelab.copula_approach.mixed_copulas.ctg_mix_copula arbitragelab.copula_approach.pairs_selection arbitragelab.copula_approach.vine_copula_partner_selection arbitragelab.copula_approach.vine_copula_partner_selection_utils arbitragelab.copula_approach.vinecop_generate arbitragelab.copula_approach.vinecop_strategy arbitragelab.distance_approach arbitragelab.distance_approach.basic_distance_approach arbitragelab.distance_approach.pearson_distance_approach arbitragelab.hedge_ratios arbitragelab.hedge_ratios.adf_optimal arbitragelab.hedge_ratios.box_tiao arbitragelab.hedge_ratios.half_life arbitragelab.hedge_ratios.johansen arbitragelab.hedge_ratios.linear arbitragelab.hedge_ratios.spread_construction arbitragelab.ml_approach arbitragelab.ml_approach.feature_expander arbitragelab.ml_approach.filters arbitragelab.ml_approach.neural_networks arbitragelab.ml_approach.optics_dbscan_pairs_clustering arbitragelab.ml_approach.regressor_committee arbitragelab.ml_approach.tar arbitragelab.optimal_mean_reversion arbitragelab.optimal_mean_reversion.cir_model arbitragelab.optimal_mean_reversion.heat_potentials arbitragelab.optimal_mean_reversion.ou_model arbitragelab.optimal_mean_reversion.xou_model arbitragelab.other_approaches arbitragelab.other_approaches.kalman_filter arbitragelab.other_approaches.pca_approach arbitragelab.spread_selection arbitragelab.spread_selection.base arbitragelab.spread_selection.cointegration arbitragelab.stochastic_control_approach arbitragelab.stochastic_control_approach.optimal_convergence arbitragelab.stochastic_control_approach.ou_model_jurek arbitragelab.stochastic_control_approach.ou_model_mudchanatongsuk arbitragelab.tearsheet arbitragelab.tearsheet.tearsheet arbitragelab.time_series_approach arbitragelab.time_series_approach.arima_predict arbitragelab.time_series_approach.h_strategy arbitragelab.time_series_approach.ou_optimal_threshold arbitragelab.time_series_approach.ou_optimal_threshold_bertram arbitragelab.time_series_approach.ou_optimal_threshold_zeng arbitragelab.time_series_approach.quantile_time_series arbitragelab.time_series_approach.regime_switching_arbitrage_rule arbitragelab.trading arbitragelab.trading.basic_copula arbitragelab.trading.copula_strategy_mpi arbitragelab.trading.minimum_profit arbitragelab.trading.multi_coint arbitragelab.trading.z_score arbitragelab.util arbitragelab.util.base_futures_roller arbitragelab.util.data_cursor arbitragelab.util.data_importer arbitragelab.util.generate_dataset arbitragelab.util.indexed_highlight arbitragelab.util.rollers arbitragelab.util.spread_modeling_helper

MPICopulaTradingRule (class in arbitragelab.trading.copula_strategy_mpi) MultiLayerPerceptron (class in arbitragelab.ml_approach.neural_networks) multivariate_rho_vectorized() (in module arbitragelab.copula_approach.vine_copula_partner_selection_utils) MultivariateCointegration (class in arbitragelab.cointegration_approach.multi_coint) MultivariateCointegrationTradingRule (class in arbitragelab.trading.multi_coint)

N

N13 (class in arbitragelab.copula_approach.archimedean.n13) N14 (class in arbitragelab.copula_approach.archimedean.n14) NBPFutureRoller (class in arbitragelab.util.rollers) non_negativeize() (BaseFuturesRoller static method) (CrudeOilFutureRoller static method) (EthanolFutureRoller static method) (GrainFutureRoller static method) (NBPFutureRoller static method) (RBFutureRoller static method)

norm_distance() (in module arbitragelab.codependence.correlation) normalize_prices() (DistanceStrategy static method)

O

omega() (HeatPotentials method) OPTICSDBSCANPairsClustering (class in arbitragelab.ml_approach.optics_dbscan_pairs_clustering) optimal_coefficients() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) (OrnsteinUhlenbeck method) optimal_entry_interval_stop_loss() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) (OrnsteinUhlenbeck method) optimal_entry_level() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) (OrnsteinUhlenbeck method) optimal_levels() (HeatPotentials method) optimal_liquidation_level() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) (OrnsteinUhlenbeck method) optimal_liquidation_level_stop_loss() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) (OrnsteinUhlenbeck method)

optimal_portfolio_weights() (OUModelJurek method) (OUModelMudchanatongsuk method) optimal_portfolio_weights_fund_flows() (OUModelJurek method) optimal_switching_levels() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) optimal_transport_dependence() (in module arbitragelab.codependence.optimal_transport) OptimalConvergence (class in arbitragelab.stochastic_control_approach.optimal_convergence) optimize() (MinimumProfit method) OrnsteinUhlenbeck (class in arbitragelab.optimal_mean_reversion.ou_model) ou_model_simulation() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) (OrnsteinUhlenbeck method) ou_tearsheet() (TearSheet method) OUModelJurek (class in arbitragelab.stochastic_control_approach.ou_model_jurek) OUModelMudchanatongsuk (class in arbitragelab.stochastic_control_approach.ou_model_mudchanatongsuk) OUModelOptimalThreshold (class in arbitragelab.time_series_approach.ou_optimal_threshold) OUModelOptimalThresholdBertram (class in arbitragelab.time_series_approach.ou_optimal_threshold_bertram) OUModelOptimalThresholdZeng (class in arbitragelab.time_series_approach.ou_optimal_threshold_zeng)

P

PairsSelector (class in arbitragelab.copula_approach.pairs_selection) PartnerSelection (class in arbitragelab.copula_approach.vine_copula_partner_selection) PCAStrategy (class in arbitragelab.other_approaches.pca_approach) PearsonStrategy (class in arbitragelab.distance_approach.pearson_distance_approach) perform_eg_test() (EngleGrangerPortfolio method) PiSigmaNeuralNetwork (class in arbitragelab.ml_approach.neural_networks) plot() (CorrelationFilter method) (ThresholdFilter method) (VolatilityFilter method) plot_2d_scatter_plot() (OPTICSDBSCANPairsClustering method) plot_3d_scatter_plot() (OPTICSDBSCANPairsClustering method) plot_cdf() (CFGMixCop method) (Clayton method) (Copula method) (CTGMixCop method) (Frank method) (GaussianCopula method) (Gumbel method) (Joe method) (MixedCopula method) (N13 method) (N14 method) (StudentCopula method) plot_clustering_info() (OPTICSDBSCANPairsClustering method) plot_coint_series() (CointegrationSimulation method) plot_historical_future_slope_state() (in module arbitragelab.util.rollers) plot_knee_plot() (OPTICSDBSCANPairsClustering method) plot_levels() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) (OrnsteinUhlenbeck method) plot_loss() (BaseNeuralNetwork method) (MultiLayerPerceptron method) (PiSigmaNeuralNetwork method) (RecurrentNeuralNetwork method) plot_losses() (RegressorCommittee method) plot_model_results() (SpreadModelingHelper method) plot_pair() (DistanceStrategy method) plot_pca_matrix() (OPTICSDBSCANPairsClustering method) plot_pdf() (CFGMixCop method) (Clayton method) (Copula method) (CTGMixCop method) (Frank method) (GaussianCopula method) (Gumbel method) (Joe method) (MixedCopula method) (N13 method) (N14 method) (StudentCopula method)

plot_portfolio() (DistanceStrategy method) plot_regression_results() (SpreadModelingHelper static method) plot_results() (OUModelJurek method) plot_returns() (MultivariateCointegration static method) plot_scatter() (CFGMixCop method) (Clayton method) (Copula method) (CTGMixCop method) (Frank method) (GaussianCopula method) (Gumbel method) (Joe method) (MixedCopula method) (N13 method) (N14 method) (StudentCopula method) plot_selected_pairs() (PartnerSelection method) plot_sharpe_ratio_vs_rf() (OUModelOptimalThresholdZeng method) plot_target_vs_c() (OUModelOptimalThresholdBertram method) (OUModelOptimalThresholdZeng method) plot_target_vs_rf() (OUModelOptimalThresholdBertram method) plot_thresholds() (QuantileTimeSeriesTradingStrategy method) plot_trades() (RegimeSwitchingArbitrageRule static method) (SpreadModelingHelper static method) plot_wealth_process() (OptimalConvergence static method) portfolio_from_prices() (CoxIngersollRoss static method) (ExponentialOrnsteinUhlenbeck static method) (OrnsteinUhlenbeck static method) positions_to_units_against_index() (CVineCopStrat static method) positions_to_units_dollar_neutral() (MPICopulaTradingRule static method) predict() (AutoARIMAForecast method) (BaseNeuralNetwork method) (MultiLayerPerceptron method) (PiSigmaNeuralNetwork method) (RecurrentNeuralNetwork method) (RegressorCommittee method)

Q

QuantileTimeSeriesTradingStrategy (class in arbitragelab.time_series_approach.quantile_time_series)

R

rank_pairs() (PairsSelector method) RBFutureRoller (class in arbitragelab.util.rollers) rectangle_props() (in module arbitragelab.util.data_cursor) RecurrentNeuralNetwork (class in arbitragelab.ml_approach.neural_networks) RegimeSwitchingArbitrageRule (class in arbitragelab.time_series_approach.regime_switching_arbitrage_rule) RegressorCommittee (class in arbitragelab.ml_approach.regressor_committee) remove_nuns() (DataImporter static method) return_variance() (OUModelOptimalThresholdBertram method) (OUModelOptimalThresholdZeng method)

roll() (BaseFuturesRoller method) (CrudeOilFutureRoller method) (EthanolFutureRoller method) (GrainFutureRoller method) (NBPFutureRoller method) (RBFutureRoller method) RVineCop (class in arbitragelab.copula_approach.vinecop_generate)

S

sample() (CFGMixCop method) (Clayton method) (Copula method) (CTGMixCop method) (Frank method) (GaussianCopula method) (Gumbel method) (Joe method) (MixedCopula method) (N13 method) (N14 method) (StudentCopula method) scad_derivative() (in module arbitragelab.copula_approach.copula_calculation) scad_penalty() (in module arbitragelab.copula_approach.copula_calculation) scatter_props() (in module arbitragelab.util.data_cursor) sdp_crossing_vol() (SparseMeanReversionPortfolio method) sdp_portmanteau_vol() (SparseMeanReversionPortfolio method) sdp_predictability_vol() (SparseMeanReversionPortfolio method) select() (HSelection method) select_spreads() (AbstractPairsSelector method) (CointegrationSpreadSelector method) selection_method() (DistanceStrategy method) set_cdf() (BasicCopulaTradingRule method) (MPICopulaTradingRule method) set_coint_params() (CointegrationSimulation method) set_copula() (BasicCopulaTradingRule method) (MPICopulaTradingRule method) set_price_params() (CointegrationSimulation method) set_prices() (CointegrationSpreadSelector method)

set_train_dataset() (MinimumProfit method) (MultivariateCointegration method) sharpe_calculation() (HeatPotentials method) sharpe_ratio() (OUModelOptimalThresholdBertram method) (OUModelOptimalThresholdZeng method) show() (DataCursor method) (HighlightingDataCursor method) (IndexedHighlight method) show_highlight() (HighlightingDataCursor method) (IndexedHighlight method) sic() (in module arbitragelab.copula_approach.copula_calculation) signals() (DistanceStrategy static method) simulate() (CVineCop method) simulate_ar() (CointegrationSimulation method) simulate_coint() (CointegrationSimulation method) sort_pairs() (DistanceStrategy static method) sparse_eigen_deflate() (SparseMeanReversionPortfolio method) SparseMeanReversionPortfolio (class in arbitragelab.cointegration_approach.sparse_mr_portfolio) spearman_rho() (PairsSelector static method) spearmans_rho() (in module arbitragelab.codependence.gnpr_distance) spread_calc() (OUModelJurek method) (OUModelMudchanatongsuk method) SpreadModelingHelper (class in arbitragelab.util.spread_modeling_helper) squared_angular_distance() (in module arbitragelab.codependence.correlation) stabilization_region() (OUModelJurek method) standardize_data() (PCAStrategy static method) standardized (SparseMeanReversionPortfolio property) StudentCopula (class in arbitragelab.copula_approach.elliptical.student) summary() (MultivariateCointegration static method) (TAR method)

T

t_calc() (in module arbitragelab.copula_approach.vine_copula_partner_selection_utils) TAR (class in arbitragelab.ml_approach.tar) TearSheet (class in arbitragelab.tearsheet.tearsheet) theta_hat() (CFGMixCop static method) (Clayton static method) (Copula static method) (CTGMixCop static method) (Frank static method) (GaussianCopula static method) (Gumbel static method) (Joe static method) (MixedCopula static method) (N13 static method) (N14 static method) (StudentCopula static method) three_dim_props() (in module arbitragelab.util.data_cursor) ThresholdFilter (class in arbitragelab.ml_approach.filters)

to_quantile() (in module arbitragelab.copula_approach.copula_calculation) to_returns() (MPICopulaTradingRule static method) trade_length_variance() (OUModelOptimalThresholdBertram method) (OUModelOptimalThresholdZeng method) trade_pairs() (DistanceStrategy method) trade_portfolio() (PearsonStrategy method) trading_signals() (KalmanFilterStrategy method) traditional() (PartnerSelection method) transform() (BaseFuturesRoller method) (CorrelationFilter method) (CrudeOilFutureRoller method) (EthanolFutureRoller method) (FeatureExpander method) (GrainFutureRoller method) (NBPFutureRoller method) (RBFutureRoller method) (ThresholdFilter method) (VolatilityFilter method)

U

unconstrained_portfolio_weights_continuous() (OptimalConvergence method) update() (DataCursor method) (HighlightingDataCursor method) (IndexedHighlight method) (KalmanFilterStrategy method) update_price_values() (MultivariateCointegrationTradingRule method) update_probabilities() (BasicCopulaTradingRule method)

update_spread_value() (BollingerBandsTradingRule method) (MinimumProfitTradingRule method) update_trades() (BasicCopulaTradingRule method) (BollingerBandsTradingRule method) (MinimumProfitTradingRule method) (MultivariateCointegrationTradingRule method) upsilon() (HeatPotentials static method)

V

V() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) v() (HeatPotentials method) V() (OrnsteinUhlenbeck method) V_sl() (CoxIngersollRoss method) (ExponentialOrnsteinUhlenbeck method) (OrnsteinUhlenbeck method)

V_XOU() (ExponentialOrnsteinUhlenbeck method) variable_form() (in module arbitragelab.copula_approach.vine_copula_partner_selection_utils) variance_integral_func() (in module arbitragelab.copula_approach.vine_copula_partner_selection_utils) variation_of_information_score() (in module arbitragelab.codependence.information) verify_ar() (CointegrationSimulation method) verify_coint() (CointegrationSimulation method) VolatilityFilter (class in arbitragelab.ml_approach.filters)

W

wealth_gain_continuous() (OptimalConvergence method)

X

xou_description() (ExponentialOrnsteinUhlenbeck method) xou_model_simulation() (ExponentialOrnsteinUhlenbeck method)

xou_optimal_entry_interval() (ExponentialOrnsteinUhlenbeck method) xou_optimal_liquidation_level() (ExponentialOrnsteinUhlenbeck method) xou_plot_levels() (ExponentialOrnsteinUhlenbeck method)