This is a summary of links featured on Quantocracy on Wednesday, 10/10/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Cointegration Breakdown [Jonathan Kinlay]One of the perennial difficulties in developing statistical arbitrage strategies is the lack of reliable methods of estimating a stationary portfolio comprising two or more securities. In a prior post (below) I discussed at some length one of the primary reasons for this, i.e. the lower power of cointegration tests. In this post I want to explore the issue in more depth, looking at the standard