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v0.5.0
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@PanPip PanPip released this 23 Jun 16:38
· 556 commits to master since this release
0.5.0
9ee2710

New features in ArbitrageLab version 0.5.0:

Visualization Module:

  • Cointegration Tear Sheet
  • OU Model Tear Sheet

Distance Approach Module:

  • Pearson Distance Approach

Stochastic Control Approach Module:

  • Optimal Convergence Model

Machine Learning Module:

  • ML Approach Pairs Selection Module made more flexible - clustering and selection steps are now separate

Hedge Ratio Estimation Module:

  • OLS, TLS, and Minimum HL Methods

Bug Fixes:

  • Fixed bug in ML Approach Pairs Selector hedge ratio calculation (previously had included intercept)
  • Fixed issue with too many function calls in web analytics

Notebooks:

  • Pearson Distance Approach
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