miindisponi99/Statistical-Arbitrage-Emerging-Markets

Built a pairs trading strategy in emerging markets using a rolling Kalman-filter beta and spread half-life, with z-score position sizing, and comprehensive back-testing with liquidity adjustments and transaction cost analysis for enhanced risk management

语言：Jupyter Notebook · GitHub 星标：19 · Fork：0

话题：backtesting · emerging-markets · kalman-filter · pairs-trading · quantitative-analysis · quantitative-finance · quantitative-trading · statistical-arbitrage

在 GitHub 上查看原仓库