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Implement the trading algorithms

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Reference no: EM131573888

This project will help you gain understanding of statistical arbitrage in the U.S. equity market.

Please read the following table and finish the objectives.

M. Avellaneda and J.-H. Lee. Statistical Arbitrage in the U.S. Equities Market.

Objective 1: Implement the trading algorithms and reproduce the results (specifically, Figures 8, 9, 10, 11, and 17) described in the paper.

Objective 2: Please extend the paper's results to include the market data until the end of 2009.

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The task is statistical arbitration of Chinese market data during the period of 2010 for listed companies in Shanghai stock exchange. 15 ETF portfolio are also discussed.

Reference no: EM131573888

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inf1573888

8/14/2017 5:26:59 AM

Expertsmind.com is really the best assignment help site, ever. The experts here are so helpful. I had such a variety of questions about my graduate paper and the expert truly helped me. Furthermore I got refinement on my paper.

inf1573888

8/14/2017 5:24:45 AM

Please let me know once you got the pay You can use Chinese Market Data. This is another version of the reference article, you may need this. 24443473_1AvellanedaLeeStatArb20090616.pdf Here is the data 24443410_1data.xlsx There is a line that is stock name, and they are hard to be translated. However, I do not think they will influence your work since they are just names. Can you try to use it? 24443456_1data.xlsx Each stock has its own code, and there are 180 stocks, you can differentiate them by code and ignore the stock name Okay, but take this project seriously and give me solution ASAP. hi,I would like to see more details of the algorithm you have used to get the data.

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