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[ArbLab] 1. Cointegration (5)Multivariate Cointegration Strategy 본문

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[ArbLab] 1. Cointegration (5)Multivariate Cointegration Strategy

알파트로스 2024. 7. 8. 22:00

https://hudson-and-thames-arbitragelab.readthedocs-hosted.com/en/latest/trading/multi_coint.html

 

Multivariate Cointegration Strategy — arbitragelab 1.0.0 documentation

\[ \begin{align}\begin{aligned}\Bigg \lfloor \frac{-b^i C \text{ sgn} \bigg( \sum_{p=1}^{P} Z_{t-p} \bigg)}{P_t^i \sum_{j \in L} b^j} \Bigg \rfloor, \: i \in L\\\Bigg \lfloor \frac{b^i C \text{ sgn} \bigg( \sum_{p=1}^{P} Z_{t-p} \bigg)}{P_t^i \sum_{j \in L

hudson-and-thames-arbitragelab.readthedocs-hosted.com

https://hudson-and-thames-arbitragelab.readthedocs-hosted.com/en/latest/cointegration_approach/multivariate_cointegration.html

 

Multivariate Cointegration Framework — arbitragelab 1.0.0 documentation

For each time period, trade \(-b^i C \sum_{p=1}^{\infty} Z_{t-p}\) value of asset \(i, \: i=1, \ldots, N\)

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