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pyRMT reviews and mentions
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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.
Stats
GGiecold/pyRMT is an open source project licensed under MIT License which is an OSI approved license.
The primary programming language of pyRMT is Python.
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