Statistical Arbitrage in the U.S. Equities Market (But in Crypto, with code, Part 2)

In this one we implement the paper in the title for the crypto market.

Paper: https://jeremywhittaker.com/wp-content/uploads/2021/03/AvellanedaLeeStatArb071108.pdf

In the last part we’ve used PCA on the correlation matrix of asset returns to generate different Eigenportfolios. In this part we will create a simple Asset Pricing Model and use it to generate signals for our statistical arbitrage strategy.