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Can you test covariance on Quantopian?

I would like to test covariance to find suitable pairs for statistical arbitrage. Can I test covariance with intraday day data here at Quantopian?

1 response

Absolutely. You can perform a variety of statistical mathematical functions, often in vectorized format, with Numpy, Pandas, SciPy, etc... All of which are libraries that are built into Quantopian. All you have to do is code it up. If you are looking for material on pairs trading on Quantopian check out the Lectures page or search the forums where there is a ton of content.


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