An interesting article was published to the Journal of Risk and Financial Management in regards to cryptocurrencies markets and performing statistical arbitrage.  The TLDR version as one might expect:

  • Execution is key
  • The strategy performance is positive

The paper appears to aggregate order books over multiple markets for their research performed.  The paper is available in open access format here.

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I ran across this artcle in my morning reading and thought it may be enjoyable for others.  Cheers!

Excel/Code bundle

Posted: December 29, 2011 in Uncategorized

Per request, I have bundled all the Excel files and source code into a single ZIP archive and posted it @ http://www.fileserve.com/file/yCqYtB8/Autospreader.zip for a single download.

Happy New Year! 


Hola!

I would like to share with you a small project that I created in C# for collecting end-of-day data from Yahoo!Finance.  This application (source included) will create a directory on your C:\ drive called “data” where it will create many CSV files for each instrument listed in “MasterSymbols.txt” listed in the Working directory, that is the directory that you run the executable from.  Add symbols to the “MasterSymbols.txt” file if you want to have the application pull them down as well. It is a console application that will write out exactly what symbol it is downloading and from when it is doing this.

The source code and binaries are here

You will need 7-zip to un-compress them.


well there has been demand for a utility to download data from Yahoo!Finance so here you go (https://sourceforge.net/projects/autospreader/files/C%23/YahooFinance.cs/download).

A C# Ornstein-Uhlenbeck class

Posted: January 17, 2011 in Uncategorized

Here (https://sourceforge.net/projects/autospreader/files/C%23/OrnsteinUhlenbeck.cs/download) is the file…it has a dependency on GeneralMatrix again (http://www.codeproject.com/KB/recipes/psdotnetmatrix.aspx).  Enjoy!


Well here you go, a small C# class for Kalman filtering (https://sourceforge.net/projects/autospreader/files/C%23/KalmanFilter.cs/download)….it has a dependency on the GeneralMatrix (http://www.codeproject.com/KB/recipes/psdotnetmatrix.aspx) library but any matrix library would suffice….Enjoy and as always if you have questions ASK!