Name		Name	Last commit message	Last commit date
Latest commit History 3 Commits
data		data
stock_data		stock_data
README.md		README.md
database.py		database.py
mlpairs.py		mlpairs.py
research.ipynb		research.ipynb
unsupervised_pairs_selection.ipynb		unsupervised_pairs_selection.ipynb
utils.py		utils.py

Repository files navigation

Ornstein_Uhlenbeck_Model

Divided into three sections:

Estimate the Ornstein Uhlenbeck parameters with log likelihood
Apply the parameters to solve the optimal Stopping problem,
Plot the parameters for the final results and analysis.

Jupyter notebook

About

A log likelihood process for optimal entry / exit / stopping.

trading-algorithms log-likelihood optimal-stopping quantative-trading

Report repository

Releases

No releases published

Packages

No packages published

Languages