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external_libraries
external_libraries
 
 
src
src
 
 
Part 10: LSTM Forecast Price Spread of Pair.ipynb
Part 10: LSTM Forecast Price Spread of Pair.ipynb
 
 
Part 11: LSTM Forecast Spread with Validation Set.ipynb
Part 11: LSTM Forecast Spread with Validation Set.ipynb
 
 
Part 12: LSTM Threshold (Decile).ipynb
Part 12: LSTM Threshold (Decile).ipynb
 
 
Part 13: LSTM Threshold (Quintile).ipynb
Part 13: LSTM Threshold (Quintile).ipynb
 
 
Part 14: LSTM Results on Test Set.ipynb
Part 14: LSTM Results on Test Set.ipynb
 
 
Part 1: Pairs Trading with Copulas.ipynb
Part 1: Pairs Trading with Copulas.ipynb
 
 
Part 2: Variance and Correlation Characteristics for Best Algo Return.ipynb
Part 2: Variance and Correlation Characteristics for Best Algo Return.ipynb
 
 
Part 3a: Picking Pairs with Hurst Exponent.ipynb
Part 3a: Picking Pairs with Hurst Exponent.ipynb
 
 
Part 3b: Random Pairs Selection vs. Hurst Expo.ipynb
Part 3b: Random Pairs Selection vs. Hurst Expo.ipynb
 
 
Part 3c: Random Pairs Selection vs. Hurst Expo (Larger Dataset).ipynb
Part 3c: Random Pairs Selection vs. Hurst Expo (Larger Dataset).ipynb
 
 
Part 4a: K-Means Clustering.ipynb
Part 4a: K-Means Clustering.ipynb
 
 
Part 4b: Hierarchical Clustering.ipynb
Part 4b: Hierarchical Clustering.ipynb
 
 
Part 4c: DBSCAN.ipynb
Part 4c: DBSCAN.ipynb
 
 
Part 5: PCA - Dimensionality Reduction.ipynb
Part 5: PCA - Dimensionality Reduction.ipynb
 
 
Part 6: Minimum Distance Approach (SSD).ipynb
Part 6: Minimum Distance Approach (SSD).ipynb
 
 
Part 7: Correlation as a Pairs Selection Technique.ipynb
Part 7: Correlation as a Pairs Selection Technique.ipynb
 
 
Part 8: Cointegration Test.ipynb
Part 8: Cointegration Test.ipynb
 
 
Part 9: All Together (Optimal Pairs Selection Framework + Copula Based Trading Model).ipynb
Part 9: All Together (Optimal Pairs Selection Framework + Copula Based Trading Model).ipynb
 
 

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An exploration into pairs trading and machine learning

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