stat-arb
CommunityBuild market-neutral stat-arb portfolios with PCA
Finance & Accounting#risk-management#portfolio-construction#pca#market-neutral#stat-arb#residuals#factor-neutrality
Authorbrainbytes-dev
Version1.0.0
Installs0
System Documentation
What problem does it solve?
Provides a PCA-based framework to construct market-neutral statistical arbitrage portfolios by decomposing returns, isolating residual alpha, and applying neutrality constraints.
Core Features & Use Cases
- PCA-based return decomposition to separate common factors from residuals.
- Residual mean-reversion signaling with market, sector, and factor neutrality enforcement.
- End-to-end workflow: universe definition, signal generation, constraints, sizing, and risk management for stat-arb portfolios.
Quick Start
Define your market universe, run PCA on recent returns, compute residuals, and construct a neutral, sized stat-arb portfolio.
Dependency Matrix
Required Modules
None requiredComponents
Standard package💻 Claude Code Installation
Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.
Please help me install this Skill: Name: stat-arb Download link: https://github.com/brainbytes-dev/everything-claude-trading/archive/main.zip#stat-arb Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
Agent Skills Search Helper
Install a tiny helper to your Agent, search and equip skill from 471,000+ vetted skills library on demand.