COINTEGRATION (TIME SERIES) AND ITS USES IN QUANT TRADING

#timeseriesanalysis #quantitativefinance #riskmanagement #forecasting #economics
Cointegration is used to understand long term relationship between multiple time series. Two time series are said to be cointegrated if they are both integrated of the same order, and there exists a linear combination of them that is stationary. Consider two non-stationary time series, for example, the price of two different stocks over time. Although both series may be trending upwards or downwards, they may still be related in a way that suggests a long-term equilibrium relationship
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