Dr. Ernest P Chan – Mean Reversion Strategies In Python

Author:Dr. Ernest P Chan
MULTIPLY YOUR PORTFOLIO
Exploit a successful strategy Use technology to quickly multiply your portfolio using the same strategy across different instruments and asset classes.
Mean Reversion Strategies In Python
Sale Page :quantra.quantinsti.com
This product is available
SKILLS COVERED
Mean Reversion Strategies

Statistical Arbitrage
Triplets Trading
Index Arbitrage
Long-short strategy

Math Concepts

Correlation, Co-integration
Stationarity
Linear Regression
ADF and Johansen Test
Half Life

Python

Adfuller,
Statstools,
Johansen,
NumPy, Pandas,
Matplotlib

PREREQUISITES
It is expected that you have some trading experience and understand basic financial markets terminology like sell, buy, margin, entry, exit positions. Some familiarity with t-statistics and autoregressive model is useful but not mandatory. If you want to be able to code strategies in Python, then experience to store, visualise and manage data using Pandas DataFrame is required. These skills are covered in our course ‘Python for Trading’.
AFTER THIS COURSE YOU’LL BE ABLE TO
Create four different types of mean reverting strategies
Perform statistical test for identifying stationarity and co-integration
Backtest pairs trading, triplets, index arbitrage and long-short strategy
Explain the role of risk management

Reviews

There are no reviews yet.

Be the first to review “Dr. Ernest P Chan – Mean Reversion Strategies In Python” Cancel replyYou must be logged in to post a review.