├── 1_asset (comparison with LP approach).py ├── 2_assets (STOXX&SP500) bad_market.py ├── 2_assets (XOM&BP) pairs_trading.py ├── README.md ├── linear programming approach.ipynb ├── online_learning.py ├── per_share transaction cost high_dimension.py ├── plot_equity_cuve_2_assets (STOXX&SP500).py └── proportional transaction cost high_dimension.py /1_asset (comparison with LP approach).py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YINDAIYING/Deep-Robust-Statistical-Arbitrage/HEAD/1_asset (comparison with LP approach).py -------------------------------------------------------------------------------- /2_assets (STOXX&SP500) bad_market.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YINDAIYING/Deep-Robust-Statistical-Arbitrage/HEAD/2_assets (STOXX&SP500) bad_market.py -------------------------------------------------------------------------------- /2_assets (XOM&BP) pairs_trading.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YINDAIYING/Deep-Robust-Statistical-Arbitrage/HEAD/2_assets (XOM&BP) pairs_trading.py -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YINDAIYING/Deep-Robust-Statistical-Arbitrage/HEAD/README.md -------------------------------------------------------------------------------- /linear programming approach.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YINDAIYING/Deep-Robust-Statistical-Arbitrage/HEAD/linear programming approach.ipynb -------------------------------------------------------------------------------- /online_learning.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YINDAIYING/Deep-Robust-Statistical-Arbitrage/HEAD/online_learning.py -------------------------------------------------------------------------------- /per_share transaction cost high_dimension.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YINDAIYING/Deep-Robust-Statistical-Arbitrage/HEAD/per_share transaction cost high_dimension.py -------------------------------------------------------------------------------- /plot_equity_cuve_2_assets (STOXX&SP500).py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YINDAIYING/Deep-Robust-Statistical-Arbitrage/HEAD/plot_equity_cuve_2_assets (STOXX&SP500).py -------------------------------------------------------------------------------- /proportional transaction cost high_dimension.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YINDAIYING/Deep-Robust-Statistical-Arbitrage/HEAD/proportional transaction cost high_dimension.py --------------------------------------------------------------------------------