This is a summary of links featured on Quantocracy on Sunday, 01/03/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
Exploring mean reversion and cointegration: part 2 [Robot Wealth]In the first post in this series, I explored mean reversion of individual financial time series using techniques such as the Augmented Dickey-Fuller test, the Hurst exponent and the Ornstein-Uhlenbeck equation for a mean reverting stochastic process. I also presented a simple linear mean reversion strategy as a proof of concept. In this post, Ill explore artificial stationary time series and