ATC Workshop 7: Optimal Pairs Trading with Ornstein-Uhlenbeck modeling (1.5x speed rec.)

Опубликовано: 13 Октябрь 2024
на канале: picklestirfry

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We apply the Ornstein-Uhlenbeck model to a pairs trading process to derive the optimal entry and exit values. Algorithm here: https://www.quantconnect.com/terminal...
Link to notes: https://docs.google.com/document/d/1w...
Link to paper: https://arxiv.org/pdf/1411.5062.pdf
Link to writeup on QC: https://www.quantconnect.com/tutorial...