Can anyone refer me to a good writeup on the basics of determining whether a pair of securities is cointegrated and the "textbook" way of trading it? It's okay if the writeup is part of a larger text. Thanks in advance.
Not sure if this is what you mean, but Pairs Trading goes into some details on this matter: http://www.amazon.com/Pairs-Trading-Quantitative-Analysis-Hardcover/dp/0471460672/
Huh, what do you know, I glanced over that book, but I somehow missed that part of the ToC. Thanks, I'll go thumb through that at Borders. (If anyone else has further suggestions, please fee free to add. This is my holiday project!)
Consider these bibles, if you're really going to go this path: http://www.amazon.com/Market-Models..._bbs_sr_1/104-2610457-5195137?ie=UTF8&s=books http://www.amazon.com/Analysis-Fina..._bbs_sr_1/104-2610457-5195137?ie=UTF8&s=books