sp24-mpb

Todo List

• Pull databento data from as far back as possible
• Compress data to smaller format by aggregating depth levels
• Build Optiver Order Book Features
• Attempt to implement copula / pairs trading / related trade strategies

Pairs Trading Strategy

Basic Copula Strategy

A Practical Introduction to Copula — arbitragelab 0.9.1 documentation

Multivariate Cointegration Strategy — arbitragelab 0.9.1 documentation

Multivariate Cointegration Framework — arbitragelab 0.9.1 documentation

Arbitrage Stratgy Code & Docs