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1answer
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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 ...
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2answers
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How to build a mean reverting basket?
I have been playing with mean reverting pairs, but seems that most of the low hanging fruit (ie pairs) have been squeezed already. I would like to start with mean reverting baskets (>2 securities) in ...
6
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4answers
492 views
Threshold calculation for buying a mean-reverting asset
I am trying to figure-out an optimal policy for buying a unit when its price follows a mean-reverting price process (Ornstein–Uhlenbeck), when I have a finite time deadline for buying the unit.
I ...
