johansen

Here are 3 public repositories matching this topic...

Indemos / Estimator

Statistics and performance metrics in trading, CAGR, Sharpe, MAE, MFE, and others. Cointegration, Kalman, and option pricing.

finance performance options trading analysis metrics forex stocks futures strategies cointegration kalman black-scholes backtesting johansen pairs-traiding

Updated Sep 15, 2026
C#

gustavlan / cointegration-analysis

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Open-source cointegration & pairs-trading research package: CLI + tests + CI; Engle–Granger/Johansen, OU/ECM diagnostics, and walk-forward backtests with cost/benchmark controls..

finance time-series statsmodels cointegration pairs-trading backtesting johansen engle-granger

Updated Jan 19, 2026
Python

Pouyasharp / cointegration-vecm

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Scaffold (v0.1.0) of a PhD-level deep dive on cointegration and VECM. Detailed SKILL.md outline + 1 working Engle-Granger 2-step demo. v0.2.0+ will fill in Johansen, VECM, structural breaks.

python time-series scaffold econometrics vecm cointegration johansen engle-granger

Updated Jun 15, 2026

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