This code repository accompanies two papers:
- Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization
- A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages
We assume you share already the love for Poetry. Once you have installed poetry you can perform
make installto replicate the virtual environment we have defined in pyproject.toml and locked in poetry.lock.
We install JupyterLab on fly within the aforementioned virtual environment. Executing
make jupyterwill install and start the jupyter lab.