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Preciso de um script que determine pares de ações cointegrados

MQL5 Scripts Other Statistics and mathematics Custom graphics C++ R Python Strategy optimization Strategy modules Stocks

Specification

Estou procurando um programador que faça um script em R ou Python que determine pares cointegrados estatisticamente entre séries de preços.

Deve-se usar o teste de estacionariedade (teste de Dickey-Fuller) ; Teste de Cointegração (metodologia de Engle-Granger)

Seguindo os seguintes passos:

  • Passo 1 – Testar se cada série é não-estacionária
  • Passo 2 – Aplicar Metodologia de Engle-Granger, testando se o spread apresenta:
    • Relação de cointegração estável ao longo do tempo
    • Reversão frequente do spread à média
    • Variabilidade razoavelmente grande nas divergências
O Script deve testar todos os pares que fazem parte do índice BOVESPA.









Responded

1
Developer 1
Rating
(7)
Projects
9
11%
Arbitration
0
Overdue
6
67%
Free
2
Developer 2
Rating
(8)
Projects
16
0%
Arbitration
9
0% / 89%
Overdue
8
50%
Free
3
Developer 3
Rating
(46)
Projects
80
13%
Arbitration
11
0% / 91%
Overdue
51
64%
Free
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Project information

Budget
50 - 200 USD
Deadline
from 5 to 20 day(s)