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cointegration

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dynamic-financial-markets

Dynamic Financial Markets is a data-driven project analyzing stock interactions in the Indian cement sector. Using models like GARCH, Johansen Cointegration, and VAR, it explores volatility, long-term relationships, and dynamic dependencies among Shree Cement, UltraTech, and Ambuja Cement.

  • Updated Jun 5, 2025
  • Jupyter Notebook

This repository showcases Pairs trading bot exploiting mean reversion in cointegrated assets. Fetches data, runs Engle-Granger tests, generates signals (Z-Score/Bollinger), and backtests results. A PyQt GUI provides interactive configuration and real-time visualization.

  • Updated Apr 21, 2025
  • Jupyter Notebook

A comprehensive analysis tool for evaluating copula-based investment strategies in financial markets. Includes functions for simulating fund performance under different copula assumptions and analyzing their impact on risk and return metrics.

  • Updated Mar 23, 2025

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