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Quantocracy’s Daily Wrap for 01/03/2016

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

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