Cointegration

Cointegration is the key trigger in statistical arbitrage for correlated pair, measuring inconsistency and stability properties

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Explanation of Homoscedasticity with normal diffused (white noise)

ADF_Cointegration.ipynb

diffusion convergence with drift term

KPSS_Cointegration.ipynb

to be refined by Grid Search for time-window & stop-profit hyper-param, and calibrating divergent adjusting factor (Cocoercivity, a basin hopping parameter for long-term drift)
adding momentum rules(MA cross/ RSI/ tailormade Alpha) in practice (Hurst exponent>0.5: Long Vol by trending α momentum; Hurst exponent<0.5: Short Vol by Mean Reversion) (e.g. 5 lag=0.86 means more reverse in short term and 20 lags=0.91 means more trendy in longer term)
as Multi-asset Pricing Model by Second-Order Cone Programming (Solver for Linear/ Quadratic(non-linear) Gaussian simulation) with neural autograd

Name		Name	Last commit message	Last commit date
Latest commit History 31 Commits
Data		Data
Enhancement		Enhancement
Pairs Trading Strategy Study with ARIMA Model Forecasting		Pairs Trading Strategy Study with ARIMA Model Forecasting
ADF_Cointegration.ipynb		ADF_Cointegration.ipynb
KPSS_Cointegration.ipynb		KPSS_Cointegration.ipynb
Pairs Trading Strategy Study with ARIMA Model Forecasting.pdf		Pairs Trading Strategy Study with ARIMA Model Forecasting.pdf
README.md		README.md
Scratching_ADF_KPSS.ipynb		Scratching_ADF_KPSS.ipynb