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pyRMT
| eiten | pyRMT | |
|---|---|---|
| 4 | 1 | |
| 2,694 | 39 | |
| - | - | |
| 0.0 | 0.0 | |
| almost 2 years ago | almost 2 years ago | |
| Python | Python | |
| GNU General Public License v3.0 only | MIT License |
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- Has anyone worked on problems involving "portfolio optimization theory"?
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Anyone have any sites they like to go to for trading info?
www.tradytics.com
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GME IV Rank is < 30 - That often means a reversion in IV is coming soon which means large moves - Buckle up - TLDR Added
Data is from Tradytics.
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Pair trading died - hello massive trading
My question is: is this a backtesting or is it a real trading system that you plotted there, because there's a valley of difference. What you seem to be doing is basically what a long-short portfolio allocation does, see this for example.
pyRMT
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Papers for intro to Statistical Arbitrage
A nice intro is given here https://www.cfm.fr/assets/ResearchPapers/2016-Cleaning-Correlation-Matrices.pdf . The implementations aren’t super complex, but this package https://github.com/GGiecold/pyRMT has a bunch in one place that you can try out, plus a couple more references. In general this is quite an important problem and useful outside of finance too so there’s a lot of stuff on Google scholar and more comes out every year. Ledoit+Wolf, Bouchaud+Potters are some of the authors to look out for.
What are some alternatives?
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building_an_open_ai_network - MIT Press
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