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A (sales-free) comprehensive pairs trading workshop from 31st of May to 1st of June. Discusses the most widely used approaches and will dive deeper into the upsides and downsides of some of the trading strategies. TLDR: An Overview of Pairs Trading Strategies Distance Approach in Pairs...

Thanks for the share!

Its way too big, like 30 MB and this form only allows up to 4mb.

Just use your student email?

As an avid reader and student of pairs trading, I wanted to share an awesome resource for advanced pairs trading and mean-reverting portfolios. Hudson and Thames released a 165-page ebook, for free, on the topic. It covers everything from co-integration, copulas, optimal trading rules, and...

I really like Andrew Pole's introduction. He gave a far richer account of the background revolving pairs trading. More so than other authors.

Found the playlist for the Advanced Pairs Trading lecture series. It covers the various approaches to pairs trading with the addition of some new insights. Distance Approach Advanced measures of codependence Cointegration Approach Copula (basic + advanced vine copula trading strategy) Machine...

Can anyone explain to me why its so important to trash someones name on a forum? Is this the kind of culture you want to encourage? We did some good work based on his research, showed that it worked out of sample. We are excited and sharing it with the community and instead of opening a dialog...

So the large body of research regarding financial machine learning is related to classification rather than regression. The typical regression models used are CAPM and APT related, and a large amount of those use linear models, very dated. The financial ML papers out there focused on regression...

I think the best thing to do would be to reach out to their support and ask them directly. The lady I spoke to was Dorraine Burrell. I would be surprised if their data were dirty in this regard. If it is still a problem, please do let us know. It's certainly a noteworthy point.

When you purchase data it comes with software called TickWrite7. You can set the time stamp to the desired time zone, so all you need to do is adjust it.

Yes we used TickData.com for all of our research. They have really high quality data, and its cheap in comparison to other vendors. Our of interest, are you trying to implement the dollar / volume and information driven bars? Hence the need for tick data and volume? If so we are working on a...

Hi @destriero and @sle, Thanks for the feedback. We are following the Lean Startup principals in our project and its really noteworthy to see that there is a low demand for start-up documentation.

@Overnight thank you for the help. It worked and the duplicate post has since been removed. @dtrader98 thank you very much. At the moment I found the ideas around meta-labeling to be the most interesting. Mainly because of the number of applications the model has. I would like my next research...

I read a very good book by Michael Halls-Moore titled Successful Algorithmic Trading. In the book they walk the reader through an implementation of an events based backtester. I know a few funds that used that book to kick start their infrastructure. Worth a read. Link...

Hi All, My lab partner and I have been working on some advanced implementations of machine learning in finance (for our MSFE), particularly the work of Dr Lopez Marcos de Prado, and have built a couple of open source implementations that we think the community in general will benefit from...

Hi All, As part of my masters project we have put together a lot of documentation and presentations regarding starting a quant hedge fund, which I think could be useful for this community. We have a couple of slide decks: Data Driven Investments: Highlights the business process that hedge...