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Getting Started

  • Installation
  • Research Tools
  • Equity Curve Convention

API Reference

  • arbitragelab
    • Subpackages
      • arbitragelab.codependence
      • arbitragelab.cointegration_approach
      • arbitragelab.copula_approach
      • arbitragelab.distance_approach
      • arbitragelab.hedge_ratios
      • arbitragelab.ml_approach
      • arbitragelab.optimal_mean_reversion
      • arbitragelab.other_approaches
      • arbitragelab.spread_selection
      • arbitragelab.stochastic_control_approach
      • arbitragelab.tearsheet
      • arbitragelab.time_series_approach
        • Submodules
      • arbitragelab.trading
      • arbitragelab.util

Data

  • Data Importer
  • Futures Rollover

Visualization

  • Visualization Tear Sheets

Hedge Ratios

  • Hedge Ratio Calculations

Spread Trading

  • Bollinger Bands Strategy
  • Minimum Profit Strategy
  • Multivariate Cointegration Strategy

Copula Trading

  • Basic Copula Trading Strategy
  • Mispricing Index Copula Trading Strategy

Distance Approach

  • Introduction
  • Distance Approach
  • Pearson Approach

Codependence Measures

  • Introduction
  • Correlation-Based Metrics
  • Information Theory Metrics
  • Copula-Based Metrics
  • Codependence Matrix
  • Optimal Transport

Cointegration Approach

  • Introduction
  • Tests for Cointegration
  • Half-life of Mean-Reversion
  • Simulation of Cointegratred Series
  • Minimum Profit Optimization
  • Multivariate Cointegration Framework
  • Sparse Mean-reverting Portfolio Selection

Copula Approach

  • Introduction
  • A Practical Introduction to Copula
  • A Deeper Intro to Copulas
  • A Practical Introduction to Vine Copula
  • C-vine Copula Strategy
  • Vine Copula Partner Selection
  • Utility Modules

Stochastic Control Approach

  • Introduction
  • OU Model Jurek
  • OU Model Mudchanatongsuk
  • Optimal Convergence

Spread Selection Tools

  • Cointegration Rules Spread Selection

Optimal Mean Reversion

  • Introduction
  • Trading Under the Ornstein-Uhlenbeck Model
  • Trading Under the Exponential Ornstein-Uhlenbeck Model
  • Trading Under the Cox-Ingersoll-Ross Model
  • A closed-form solution for optimal mean-reverting trading strategies

Time Series Approach

  • Introduction
  • Quantile Time Series Strategy
  • OU Model Optimal Trading Thresholds Bertram
  • OU Model Optimal Trading Thresholds Zeng
  • Regime-Switching Arbitrage Rule
  • H-Strategy

Other Approaches

  • Kalman Filter
  • PCA Approach

ML Approach

  • Introduction
  • ML Based Pairs Selection
  • Spread Modeling
  • Threshold Auto Regression
  • Neural Networks
  • Filters

Legal

  • License

Developer Guide

  • Documentation for Debugging
  • Changelog
arbitragelab
  • arbitragelab
  • arbitragelab.time_series_approach

arbitragelab.time_series_approach

This module implements Time Series-based Statistical Arbitrage strategies.

Submodules

  • 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
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