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

Methodology:

· 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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Om arbejdsgiveren:
( 0 bedømmelser ) London, United Kingdom

Projekt-ID: #5995852

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schultzmw

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$387 USD in 4 dage
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