├── .gitignore ├── LICENSE ├── README.md ├── data ├── HWG.csv ├── OTZ.csv ├── RLI.csv ├── RMCC.csv ├── price_options.csv └── price_stock.csv ├── imgs ├── all_pnl.png ├── all_pnl_after.png ├── pnl_AA_II.png ├── pnl_BB_JJ.png ├── pnl_DD_HH.png ├── pnl_FF_MM.png ├── pos_AA_II.png ├── pos_BB_JJ.png ├── pos_DD_HH.png ├── pos_FF_MM.png ├── res_AA_II.png ├── res_BB_DD.png ├── res_BB_HH.png ├── res_BB_JJ.png ├── res_DD_HH.png ├── res_DD_JJ.png ├── res_FF_MM.png ├── res_FF_NN.png ├── res_HH_JJ.png ├── res_MM_NN.png ├── res_thre_AA_II.png ├── res_thre_BB_DD.png ├── res_thre_BB_HH.png ├── res_thre_BB_JJ.png ├── res_thre_DD_HH.png ├── res_thre_DD_JJ.png ├── res_thre_FF_MM.png ├── res_thre_FF_NN.png ├── res_thre_HH_JJ.png └── res_thre_MM_NN.png ├── models ├── BM.py ├── BS_model.py └── Vasicek.py ├── report ├── figures │ ├── all_pnl_after.png │ ├── all_pnl_before.png │ ├── arb1.png │ ├── arb2.png │ ├── pnl_AA_II.png │ ├── pos_BB_JJ.png │ ├── pos_DD_HH.png │ ├── res_HH_JJ.png │ └── res_thre_BB_HH.png └── report.pdf ├── requirements.txt ├── res ├── pnl_all.csv ├── pnl_best_thresholds.csv ├── pnl_final_portfolio_results.csv ├── pos_thresholds_count.csv └── positions_all.csv ├── statistical_arbitrage.ipynb └── utils └── ArbUtils.py /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/bradleyboyuyang/Statistical-Arbitrage/HEAD/.gitignore -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/bradleyboyuyang/Statistical-Arbitrage/HEAD/LICENSE -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/bradleyboyuyang/Statistical-Arbitrage/HEAD/README.md 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