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engel-granger-test

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Tobias-Mann / Pairs-Trading-Analyzer

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C# Console Application: Asks for two files containing historical financial data in the same format as files from Yahoo Finance. Performs the two-step Engel-Granger Test for Cointegration and simulates profits of applying the Pairs Trading Strategy to these stocks. To Project further Includes code to conduct statistical inference and a Function t…

csharp trading cointegration multiple-linear-regression augmented-dickey-fuller-test engel-granger-test
  • Updated Dec 14, 2020
  • C#

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