Releases: hudson-and-thames/arbitragelab
Releases · hudson-and-thames/arbitragelab
v0.3.0
New features in ArbitrageLab version 0.3.0:
General:
- Moved package to python v. 3.8
- Updated versions of requirement packages
- Minor bug fixes
Cointegration Approach Module:
- Multivariate Cointegration Model
- Sparse Mean-Reverting Portfolios
Copula Approach Module:
- Quick Pairs Selection
- Updated BasicCopulaStrategy
- Mispricing Index Trading Strategy
- Greatly improved Copula documentation
ML Approach Module:
- Spread Modeling Strategy
- Filters, Fair Value Model
Data Module:
- Futures Rollover tools
v0.2.2
v0.2.1
v0.2.0
New features in ArbitrageLab version:
Cointegration Approach:
- Simulation of Cointegratred Series
- Minimum Profit Optimization Strategy
Copula Approach (NEW):
- Introduction guide to Copulae
- Probability Threshold Strategy
Optimal Mean Reversion:
- Trading under the XOU Model
- Trading under the CIR Model
- A closed-form solution for the OU Model
Time Series Approach (NEW):
- Quantile Time Series Strategy
ML Approach (NEW):
- ML Based Pairs Selection
Same for the Notebooks - each point here has it's own dedicated notebook (except for only 1 notebook for the Cointegration Approach and the Copula Approach )