Is there a way to find the most cointegrated pair between multiple time series? (Pair trading)

1 view (last 30 days)
Hi,
I wondered if there exists a function which takes as input 1) a N x M matrix (e.g. M stocks with daily data for N days) 2) whether to include nonzero mean and/or a trend, and returns the cointegrated pairs, preferably sorted from "most-likely-cointegrated" pair to "least-likely" (Maybe even testing the series for being I(1) beforehand...?).
Since I want to use the output for two-stock pair-trading, I am not looking for a Johansen-test output, where I'll have to take positions based on the eigenvectors.
I think I remember some webinar where someone had done it by returning a two dimensional color output, such that you could see the most - and least cointegrated pairs.
I hope someone can help. Thanks a lot in advance

Answers (0)

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!