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We tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach (proposed).

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statistical-arbitrage-18-19

Final year project at HKUST. We tested 3 main approaches for performing Pairs Trading:

  • distance method
  • cointegration method (rolling OLS, Kalman Filter)
  • reinforcement learning agent (proposed)

Final report can be found here. Presentation slides can be found here.

FYP members: myself, Gordon, Brendan

How to get started?

  • Run ./setup.sh to install all dependencies

Note

  • In our experiments, we used financial data taken from the Interactive Brokers platform, which is not free. Due to their regulations, we cannot released the financial data used in our experiments to the public. Feel free to use your own price data to perform experiments.

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We tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach (proposed).

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