Trading Under the Ornstein-Uhlenbeck Model¶
The Ornstein-Uhlenbeck Model was deprecated in MlFinLab, please use ArbitrageLab for this functionality.
ArbitrageLab is a collection of algorithms from the best academic journals and graduate-level textbooks, which focuses on the branch of statistical arbitrage known as pairs trading. We have extended the implementations to include the latest methods that trade a portfolio of n-assets (mean-reverting portfolios).
ArbitrageLab is built for teams that want to hit the ground running and focus on generating PnL.