Cross-Asset Arbitrage Engine

import numpy as np
import pandas as pd
from statsmodels.tsa.stattools import coint, adfuller

class ArbitrageEngine:

    @staticmethod
    def cointegration_test(series_a: pd.Series, series_b: pd.Series) -> dict:
        """Test if two series are cointegrated (mean-reverting spread)."""
        score, pvalue, _ = coint(series_a.dropna(), series_b.dropna())
        return {
            "cointegrated": pvalue < 0.05,
            "p_value": round(pvalue, 4),
            "test_stat": round(score, 4),
            "signal": "COINTEGRATED — pairs trade viable" if pvalue < 0.05 else "NOT cointegrated — avoid pairs trade",
        }