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mean-reversion-trading

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alichopping / Mid-Frequency-Statistical-Arbitrage

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An exposition of a simple pairs trading strategy on two stocks (Bajaj Finserv and Indian Bank) in the Nifty500, at the one-minute time frequency, in order to demonstrate some of the core ideas of statistical arbitrage strategies.

time-series cointegration pairs-trading time-series-analysis statistical-arbitrage mean-reversion stationarity statarb mean-reversion-strategy mean-reversion-trading
  • Updated Oct 18, 2024
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