New answers tagged statistics
first: if he should regress returns then this is actually what he is doing since $ln(p_t)$ is equal to $r_t$ almost surely then, you put just prices to regression equation and coefficients tell you exactly what proportions are making this linear combination stationary, if they are : p
This is probably not a good question for Q.SE—despite its application in your strategy, you're (perhaps unaware) asking a general math question: the difference between the ratio of means and the mean of ratios. There are numerous results online that distinguish the difference, but I assume the terminology wasn't apparent to you at the time. I've come ...
Top 50 recent answers are included