Integration, Cointegration, and Stationarity

Stationarity is a vital concept in statistics, and underlies many tests as an assumed condition. In finance often series are not stationary, and so it is important to understand how to test for it and how it behaves. As an extension of stationarity, we discuss integration and cointegration. These are time series analysis techniques that are used in pairs trading and other forms of statistical arbitrage. This video is part of Quantopian’s Lecture Series. All lecture materials can be found at: https://www.quantopian.com/lectures. To learn more about Quantopian, visit us at: https://www.quantopian.com. Disclaimer Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice. More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian. In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.