Investigate Stochastic/Star Arb Mathematics Models

[charles-wpalmer]

Reads:

• Paper on Google Drive
• http://stat.math.uregina.ca/~kozdron/Teaching/Regina/441Fall14/Notes/L31-32-Nov19.pdf ?
• https://en.wikipedia.org/wiki/Vasicek_model

Helpful Links:

• https://github.com/AlexandreMoulti/bachelier -> python implementation?
• http://www.quantcalc.net/ZCB_Vasicek.html -> Tool aids in visual mathmateical process

[charles-wpalmer]

NOTES:

• https://www.investopedia.com/terms/s/statisticalarbitrage.asp : stat arb definition on investopedia was useful, followed it through to find definition of correlation etc.
  • https://www.investopedia.com/terms/c/correlation.asp : correlation equation definition
  • https://blog.quantinsti.com/statistical-arbitrage/
  • http://jonathankinlay.com/2018/09/developing-statistical-arbitrage-strategies-using-cointegration/
  • https://www.mathworks.com/videos/machine-learning-for-algorithmic-trading-1503691224414.html