Statistical Arbitrage using Time Series Analysis: As part of the final project in the Certificate in Quantitative Finance (CQF) on algorithmic trading, I implemented and backtested a pairs trading strategy. Features of this strategy included:
1) Identifying and estimating a cointegrated relationship between two time series, through OLS regression, and by applying the Engle-Granger procedure on the residuals. Also considered the Johansen procedure.
2) After establishing cointegration, fitting an Ornstien-Uhlenbeck process to the spread for identifying entry and exit points of trading.
3) Backtesting of this strategy using the R package 'quantstrat'.
Additionally, the final project had a mandatory component of calculating Credit Valuation Adjustment (CVA) for an Interest Rate Swap.