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blog address: http://www.quantinsti.com/blog/augmented-dickey-fuller-adf-test-for-a-pairs-trading-strategy/
keywords: Pairs trading and statistical arbitrage
member since: Feb 11, 2016 | Viewed: 99
Pairs trading and statistical arbitrage
Category: Business
As you read about building a pairs trading strategy there is talk of testing a pair for co-integration and then you learn that they use ADF to do this. However when I looked up tests for co-integration, the ADF test was not on the short list. Rather, an ADF test features under the topic: Testing for a Unit Root.
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