Tagged Questions
3
votes
2answers
322 views
Entry and exit points for very short mean-reverting timeseries
I have a model specifying a cointegration relationship on a number of transaction-level timeseries.
I would like to specify entry and exit points for trades where these points ideally would be just ...
1
vote
1answer
359 views
Two prices pass the cointegration test but there is a trend. How to check stationarity?
Below is a spread built with two ETFs that pass the cointegration test i.e. Adjusted Dickey Fuller, adfTest(type="nc") in R's fUnitRoots with a p-value < 0.01.
The red line is the trendline.
What ...
