This project performs large scale Monte Carlo simulations of the eigenvalues that appear in Johansen's null distribution. Results are written to `*.dat` files which can be reloaded later for analysis.
Build a forecasting model to predict the sale of a store.
Project exploring the possibility of building a statistical arbitrage strategy based on pricing inefficiencies between three S&P 500 ETFs. The approach combines Johansen cointegration analysis to define mean-reverting spreads, and ARMA forecasting to generate trading signals.
Code from the paper Over the Stability Space of a Multivariate Time Series
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