Showing 1 of 1 repositories tagged #engel-granger-test, ranked by stars
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 to perform the Augmented Dickey-Fuller Test for stationarity of a time series, which is part of the Engel-Granger Test for cointegration.
