Pair Trading View

Pair Trading View - application for visual analysis of synthetic financial instruments based on statistical models.

[ PairTradingView.WpfApp ]

How To

Execute PairTradingView.exe in 'pair-trading-view\PairTradingView.WpfApp\bin\Debug'.

Set 'Price' column. Put csv files with a historical data into 'pair-trading-view\PairTradingView.WpfApp\bin\Debug\csv-files' folder. Download csv files if you need by QuoteDownloader. Press start.

Model

• prices are converted into percentages
• 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

• Statistics https://github.com/dv-lebedev/statistics
• YahooFinanceQuoteDownloader https://github.com/ovnisoftware/YahooFinanceQuoteDownloader
• ZedGraph

License

Apache 2.0