Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

The following is a result I get from a pair trading model. I am trying to figure out the significance of the below but failing. Can someone help me out i.e. a resource or possibly an explanation on the significance/result of this:

Results Summary (Test 1)

Data: Effective sample size: 58583 Model: H1 Lags: 1 Statistic: trace Significance level: 0.05

r h stat cValue pValue eigVal

0 0 9.3117 15.4948 0.3847 0.0001
1 0 2.0914 3.8415 0.1483 0.0000

Results Summary (Test 2)

Data: Effective sample size: 58582 Model: H1 Lags: 2 Statistic: trace Significance level: 0.05

r h stat cValue pValue eigVal

0 0 9.1995 15.4948 0.3957 0.0001
1 0 2.0402 3.8415 0.1535 0.0000


PS: I am new to quantitative analysis. Please recommend a book which would be good for an absolute newbie.

share|improve this question
Is the question to recommend a book or to help you interpret the results? In case of the latter, then you should consider giving more details of the problem. It looks like you might be testing for stationarity of the cointegrated process (pair). It's very unclear though... – Good Guy Mike Apr 16 '14 at 17:03
Hi Mike, Sorry I guess it is a bit vague. I am just trying to test a couple of stocks and see whether they can be traded as a pair. I was using the Correlation factor till now and a rate of change approach till now. Just using matlab and trying to figure out cointegration. The problem as I am taking it. Whether this test result proves that cointegration exists? If yes, how do I interpret the realtionship? Thanks @GoodGuyMike – user3126171 Apr 16 '14 at 17:35

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.