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transaction-cost-analysis

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miindisponi99 / Statistical-Arbitrage-Emerging-Markets

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Built a pairs trading strategy in emerging markets using a rolling Kalman-filter beta and spread half-life, with z-score position sizing, and comprehensive back-testing with liquidity adjustments and transaction cost analysis for enhanced risk management

trading-strategies quantitative-finance kalman-filter quantitative-trading pairs-trading backtesting quantitative-analysis statistical-arbitrage emerging-markets transaction-cost-analysis
  • Updated Aug 10, 2024
  • Jupyter Notebook

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