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Author:
Hudson and Thames Quantitative Research
License:
BSD-3-Clause
Summary:
ArbitrageLab is a collection of algorithms from the best academic journals and graduate-level textbooks, which focuses on the branch of statistical arbitrage known as pairs trading. We have extended the implementations to include the latest methods that trade a portfolio of n-assets (mean-reverting portfolios).
Latest version:
1.0.0
Required dependencies:
arch
|
cvxpy
|
cython
|
dash
|
jupyter-dash
|
keras
|
lxml
|
matplotlib
|
mpmath
|
networkx
|
numpy
|
pandas
|
pmdarima
|
pot
|
protobuf
|
pyvinecopulib
|
pyzmq
|
requests_html
|
scikit-learn
|
scipy
|
seaborn
|
statsmodels
|
tensorflow
|
tensorflow-io-gcs-filesystem
|
tensorflow-macos
|
werkzeug
|
wrapt
|
yahoo-fin
|
yfinance
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