Cointegration and Statistical arbitrage

Recently, I was introduced to the concept of Cointegration analysis in time-series.  I first read this in a HFT blog at Alphaticks and then the concept came up again when I was looking into Spurious Regressions and why they occur.  Lot's of Quants have blogged about this idea and how it can be applied to the premise of Statistical Arbitrage.  I will do the same and apply this to the not-so-recent Google stock split, however, I will also try to add some math into the mix, briefly touch on Error-correction mechanism and spurious regression.  Finally, I will also give a few criticisms against […]

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