Trading a Cointegrated Series

Discussion in 'Strategy Building' started by jasonbraswell, Dec 5, 2006.

  1. 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.
  2. 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!)
  3. basis


  4. Gotcha, thanks again.