Mean Reversion & Statistical Arbitrage

Oct 23, 2019

13 min read

Pairs Trading Basics: Correlation, Cointegration And Strategy

In this article on Pairs trading basics, we will understand the concept behind this strategy, including correlation, cointegration and Z-score. We will then define entry and exit points as well as look at a simple pairs trading strategy....

Jun 04, 2018

16 min read

Kalman Filter Techniques And Statistical Arbitrage In China's Futures Market In Python [EPAT PROJECT]

The project focuses on China’s futures market using Statistical Arbitrage and Pair trading techniques....

Nov 28, 2017

5 min read

Arbitrage Strategies: Understanding Working of Statistical Arbitrage

Statistical arbitrage is a strategy which exploits relative mispricing of closely related stocks based on arbitrage pricing and statistical relationships...

Sep 28, 2017

5 min read

Implement Johansen Test for Cointegration in Python

In this blogpost, you will understand the essence of the Johansen Cointegration Test and learn how to implement it in Python....

Aug 28, 2017

7 min read

Statistical Arbitrage: Pair Trading In The Mexican Stock Market [EPAT PROJECT]

Only a few algo trading firms operate in the Mexican stock exchange. Contrary to a more developed market, arbitrage opportunities aren’t readily realized....

Aug 23, 2017

3 min read

Mean Reversion Strategies: Introduction & Building Blocks

Introduction to mean reversion and learn building blocks of a simple mean reversion strategy using three steps....

Mar 16, 2017

7 min read

Mean Reversion in Time Series

This post explores the mean-reverting property of time series, stationary and non-stationary time series and the popular pairs trading strategy....

Feb 29, 2016

14 min read

Statistical Arbitrage Strategy In R - By Jacques Joubert [EPAT PROJECT]

This article focuses on statistical arbitrage, coded in R. It is a combination of EPAT class notes and author’s source code....