This repository contains three ways to obtain arbitrage which are Dual Listing, Options and Statistical Arbitrage. These are projects in collaboration with Optiver and have been peer-reviewed by staff members of Optiver.
Python library for cointegration analysis. It carries out cointegration test and evaluates spread between cointegrated time-series based on scikit-learn API.
C# Console Application: Asks for two files containing historical financial data in the same format as files from Yahoo Finance. Performs the two-step Engel-Granger Test for Cointegration and simulates profits of applying the Pairs Trading Strategy to these stocks. To Project further Includes code to conduct statistical inference and a Function to perform the Augmented Dickey-Fuller Test for stationarity of a time series, which is part of the Engel-Granger Test for cointegration.
Shiny app deployed on shinyapps.io and embedded in an R package for easy install where I explore the cointegrating relationship among LIBOR interbank rates
La relación a largo plazo y la causalidad entre las exportacioens mineras, la producción industrial y el crecimiento económico en Perú: Un estudio de caso utilizando un modelo VEC
