High Frequency Pairs Trading Statistical Arbitrage using combined neural network - GARCH model


· Selection of Pairs on the basis of two stage correlation and cointegration approach (till page 101, before 3.2)

· Once pairs have been chosen, then find statistical opportunities using a combined neural network – GARCH model

Data: Indian stock exchange data (NSE or BSE). It would be tick by tick data, time and sales as well as best bid and offer and corresponding sizes for a given period.

Software to be used: Python

Færdigheder: Python

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Projekt-ID: #5995852


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