New answers tagged testing
We assume weak stationarity definition. Price level is non-stationary. Trend-stationarity is like following a trend, not working on this time scale. So need to use returns. Returns on interval <15min are dominated by bid-ask bounce. Useless, trap. So test should be using >15min returns on window interval W < (hold time / N), N = 2-4. Then Unit root ...
Top 50 recent answers are included