I have 2 time-series datasets. I am trying to find co integration between them. Now the thing is they are negatively correlated. So if I want to look at the distance between them, would I be right in just inverting one (1/value) of them and looking at the distance they maintain over time? Is this approach right?
I am looking at currency pairs EURUSD and USDJPY
Mathematically speaking if y=mx+c and y=-mx+d, i could take a negative of mx and see the difference between the new series so obtained and y=mx+c.
However, intuitively I am not able to connect if taking the inverse of prices, I would get the same. If i invert USDJPY, I would get JPYUSD and can run it against EURUSD. But I don't really tie it up, whether taking an inverse makes sense