Asset Cointegration Analysis. Cointegration Overview. This tool allows assets to be tested for cointegration using the Augmented Dickey-Fuller Test.

Use statistical tools to see if the stocks move together. Calculate correlation and cointegration to pick the best pairs. A well-chosen pair has a high ...

29 сент. 2024 г. · Here's a hypothetical list of 50 well-known pairs from highly correlated sectors in the US equity market that are often candidates for pairs trading.

When a pair of stock prices is cointegrated, one series co-moves with a scaled version of the other. We show that close economic substitutes can be represented ...

This paper applies cointegration tests to identify stocks to be used in pairs trading ... does not exist a superior model in the collection of M models (rules):.

13 сент. 2024 г. · This paper presents a cointegration-based approach that identifies stocks listed in the five sectors of the National Stock Exchange (NSE) of ...

The tension between traditional random walk efficiency and stock price cointegration is not a new idea, as evidenced by remarks in Granger (1986).

31 июл. 2020 г. · Pairs trading is a market-neutral strategy where we use statistical techniques to identify two stocks that are historically highly correlated with each other.

The stocks Coca-Cola (with ticker KO) and Pepsi (with ticker PEP) are often mentioned as an example of a pair of securities in the same industry group for which ...

29 авг. 2022 г. · ​​The most common test for Pairs Trading is the cointegration test. Cointegration is a statistical property of two or more time-series variables ...