cointegration-analysis
CommunityIdentify statistically linked assets for pairs trading.
Finance & Accounting#quantitative finance#cointegration#mean reversion#statistical arbitrage#pairs trading#time series analysis
Authoragiprolabs
Version1.0.0
Installs0
System Documentation
What problem does it solve?
This Skill helps traders and quantitative analysts identify pairs of financial assets that exhibit a stable, long-term relationship, enabling the development of pairs trading and statistical arbitrage strategies.
Core Features & Use Cases
- Cointegration Testing: Implements Engle-Granger and Johansen tests to statistically validate long-run relationships between asset prices.
- Hedge Ratio Estimation: Calculates the optimal ratio for constructing a market-neutral spread.
- Mean Reversion Analysis: Assesses the stationarity and speed of convergence of the spread using ADF tests, Hurst exponents, and half-life calculations.
- Rolling Stability: Monitors cointegration relationships over time to detect structural breaks.
- Use Case: A quantitative analyst can use this Skill to screen a universe of cryptocurrencies for pairs that are cointegrated, estimate their hedge ratio, and determine if the spread is mean-reverting, thus identifying potential pairs for a statistical arbitrage strategy.
Quick Start
Analyze the cointegration between 'SOL' and 'ETH' price series using the cointegration analysis skill.
Dependency Matrix
Required Modules
numpypandasscipystatsmodels
Components
scriptsreferences
💻 Claude Code Installation
Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.
Please help me install this Skill: Name: cointegration-analysis Download link: https://github.com/agiprolabs/claude-trading-skills/archive/main.zip#cointegration-analysis Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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