Series de tiempo: Extracción de señales y Modelos de prediccion sector de la caña de azucar

MUSA 5080 Final Project (Fall 2024)

MoneyBall

In this project, I developed a robust pairs trading strategy focused on the Brent-WTI crude oil spread, leveraging mean-reversion principles and fundamental factors like the Baltic Dirty Tanker Index. By combining statistical arbitrage with transportation cost dynamics, I created a composite indicator to identify trade opportunities while managing risk through stop-loss mechanisms and transaction cost adjustments.

Decision Trees, Random Forests, Adaboost