StatArbTools 0.0.1

A set of tools useful in exploring statistical arbitrage

StatArbTools

StatArbTools is a Python library primarily for determining if a pair of time series are cointegrated. It also includes tools for generating an array of log returns from a price array, looking for a linear relationship, and creating a potentially stationary distribution.

Installation

Use the package manager pip to install StatArbTools

pip install StatArbTools

Usage

import StatArbTools

StatArbTools.gen_log_returns(numpy_time_series_1, numpy_time_series_2) # returns numpy arrays of the log returns for each time series
StatArbTools.gen_linear_relationship(numpy_log_returns_1, numpy_log_returns_2) # returns the coefficient from a linear regression between the two log returns arrays
StatArbTools.gen_stationary_distr(numpy_log_returns_1, numpy_log_returns_2, coefficient) # returns the linear combination of the two log returns arrays based on a linear regression coefficient
StatArbTools.test_stationarity(numpy_time_series_1, numpy_time_series_2) # returns True if the null hypothesis of an Augmented Dickey Fuller test is rejected and False otherwise. It also returns the p-value of the ADF test.
StatArbTools.plot(stationary_distribution) # plots the passed distribution

Contributing

For changes, please open an issue first to discuss what you would like to change.

License

MIT