Pairs Trading via Unsupervised Learning The notebook with the experiments is available here The study is a replication and enhancement of the clustering proposed by Han(2022), with our own KMeans Optimization Dataset Data was harvested from Dacheng Xiu's web-site (https://dachxiu.chicagobooth.edu/download/datashare.zip), it is in GBs of size. To observe the data structure and do your own tests, see the provided samples from 2019 to 2021: "./data/samplehistoriccharacteristics.csv" Quality is questionable, and clean up was required - see notebook. The CRSP and various securities data was unavailable to me at the time of writing, there was no way to map PERMNO to SnP constituants nor make a reversal benchmark mentioned in the paper. In abscence of adjusted return (accessible from WRDS), the momentum was used as a proxy. Firm Characteristics Dataset Description: 1.DATE: The end day of each month (YYYYMMDD) 2.permno: CRSP Permanent Company Number 3-96. 94 Lagged Firm Characteristics (Details are in the appendix of Han(2022)) - lagged as these are released by CRSP with a delay, which we I

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