Powered by OpenAIRE graph
Found an issue? Give us feedback
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/ ZENODOarrow_drop_down
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
ZENODO
Software . 2026
License: CC BY
Data sources: ZENODO
ZENODO
Software . 2026
License: CC BY
Data sources: Datacite
ZENODO
Software . 2026
License: CC BY
Data sources: Datacite
 View all 2 versions
Claim

MST Multiple Spread Trading — Replication Package

integration_instructionsResearch softwarekeyboard_double_arrow_right Software 19 Mar 2026 English Publisher:Zenodo
Authors: CANEPA, FRANCESCO SAVERIO;

doi: 10.5281/zenodo.19113243 , 10.5281/zenodo.19113242

MST Multiple Spread Trading — Replication Package

Abstract

Replication package for "Multiple Spread Trading: A Multivariate Mean-Reversion Framework Based on PCA Disalignment Detection Across Asset Classes" (Canepa, 2026). Contains: TDI engine (tdi_core.py), backtest scripts, frozen TDI arrays, price data, canonical portfolio returns, candidate selection ledger, DSR/bootstrap replication scripts, and full verification suite (26/26 regression tests pass). Canonical OOS Sharpe: 2.092 | N=141 trades | OOS: 2022-02-24 to 2026-03-09

Keywords

quantitative finance, PCA, pair trading, algorithmic trading, mean reversion, statistical arbitrage

  • BIP!
    Impact byBIP!
    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 0
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Average
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Average
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Average
Powered by OpenAIRE graph
Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average