Pairs trading model based on stochastic optimal control

Name	Name	Last commit message	Last commit date
Latest commit jshellen Merge pull request #2 from jshellen/dev Aug 2, 2021 24d369c · Aug 2, 2021 History 47 Commits
.idea	.idea	refactoring	Apr 14, 2020
data	data	cleaning	Aug 2, 2021
ref	ref	rls test added	Apr 9, 2020
src	src	cleaning	Aug 2, 2021
test	test	aerge branch 'master' of https://github.com/jshellen/statarb	Apr 7, 2020
utils	utils	cleaning	Aug 2, 2021
.gitignore	.gitignore	Initial commit	Jul 6, 2019
LICENSE	LICENSE	Initial commit	Jul 6, 2019
Pairs_Trading_Strategy_Backtest.ipynb	Pairs_Trading_Strategy_Backtest.ipynb	cleaning	Aug 2, 2021
Pairs_Trading_Strategy_Notes.ipynb	Pairs_Trading_Strategy_Notes.ipynb	cleaning	Aug 2, 2021
README.md	README.md	Update README.md	Oct 20, 2019
ou_lsq_est.py	ou_lsq_est.py	aerge branch 'master' of https://github.com/jshellen/statarb	Apr 7, 2020
ou_seq_ols.py	ou_seq_ols.py	refactoring	Apr 14, 2020
ou_strategy_simulation.py	ou_strategy_simulation.py	cleaning	Aug 2, 2021

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