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longbridge-pairs-trading
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Pairs trading / statistical-arbitrage strategy via Longbridge Securities — tests cointegration between two correlated assets using the Engle-Granger (ADF) method, computes the optimal hedge ratio via OLS, calculates spread Z-score, half-lif
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longbridge-pairs-trading
skill:longbridge/skills/longbridge-pairs-trading · published by longbridge · source repository