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Results tagged with cointegration
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user 18578
Cointegration is often used in statistical abitrage as a way to identify how to combine some tradable instrument to obtain a *mean reverting* one.
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Co integration of diverging time series
You would have to inverse them, USD priced in JPY, and EUR priced in USD will almost always be inversely correlated. It is like pricing the SP500 in USD, and comparing it to USD priced in DOW30, It ma …
- 500
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Simulating Co-Integrated Assets
I think I just figured it out, and kinda feel dumb. It appears It could be solved by multiplying one time series by the beta co-efficient, and having a random walk model the drift of the beta co-effic …
- 500
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Simulating Co-Integrated Assets
I know how to simulate correlated returns, but I do not know how to simulate Co-Integrated assets. I would like to simulate a co-integrated time series where the Beta Co-Efficient is not constant, but …
- 500