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As documented in this paper, (Identifying Small Mean Reverting Portfolios, by Alexandre d’Aspremont, February 26, 2008) Box-Tiao decomposition (a way to decompose multiple time series into components with different speeds of mean reversion) can be used to identify mean reverting portfolios.

Are there alternative methods?

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Hudson and Thames has published on this topic, e.g. https://hudsonthames.org/copula-for-pairs-trading-introduction/.

I have no affiliation with the firm.

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Here's another from the same party that looks relevant also.

https://hudsonthames.org/introduction-to-hedge-ratio-estimation-methods/

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