Cointegration

[inktomii]

If you're looking for books on the subject. There is always a chapter in Econometrics text books. If you are starting up and you don't have a stats/math program you can try the Cointegration analysis using Johansen procedure with excel:

http://www.quantcode.com/modules/mydownloads/singlefile.php?cid=9&lid=434

Ink

 

[stock777]

Quote from Rodney King:

Also http://quanttrader.info/public/testForCoint.html is a step-by-step using R. BTW, much money has been lost over the years by traders who <i>thought</i> a pair of securities was cointegrated.

How else can a trader make money but delude himself into thinking he knows something?

 

[rmb623]

Quote from stock777:

How else can a trader make money but delude himself into thinking he knows something?

Sounds wise.