Pair trading view
Pair Trading View - .NET application for visual analysis of synthetic financial instruments based on statistical models.
**Pair Trading View** - application for visual analysis of synthetic financial instruments based on statistical models. The project is written primarily in C#, distributed under the Apache License 2.0 license, first published in 2015. Key topics include: finance, investment, pairs, pairs-trading, shares.
Pair Trading View
Pair Trading View - application for visual analysis of synthetic financial instruments based on statistical models.
[ PairTradingView.WpfApp ]
<p align="left"> <img width="700" alt="pic" src="https://github.com/dv-lebedev/PairTradingView/blob/master/screenshots/mainwindow.png"> </p>How To
Execute PairTradingView.exe in 'pair-trading-view\PairTradingView.WpfApp\bin\Debug'.
<p align="left"> <img width="270" alt="pic" src="https://github.com/dv-lebedev/PairTradingView/blob/master/screenshots/appstart.png"> </p>Set 'Price' column. Put csv files with a historical data into
'pair-trading-view\PairTradingView.WpfApp\bin\Debug\csv-files' folder.
Press 'Load Data From File'.
Press 'Calculate'.
Model
- SI -> synthetic index
- s -> share
- fp -> financial pair
- fp_tv -> financial pair's trade volume
- fp_w -> weight of financial pair
SI_t = ( s1_t + s2_t + s3_t + ... + sn_t ) / n
SI = α + β * fp + err
Financial pair's weight has reverse dependency of β.
fp_w = (1 / (1 + abs(β))) / Σ(fp_w)
fp_tv = balance * fp_w
Calculate trade volume for each share:
fp_tv = x_tv + y_tv
y = α + β * x + err
w = 1.0 / (1.0 + abs(β)
x_tv = fp_tv * w * abs(β)
y_tv = fp_tv * w
Dependencies
- OxyPloy
License
Contributors
Showing top 2 contributors by commit count.
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