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: www.quantopian.com/lectures.
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[@jakobforslin6301]

You did in 20 minutes what a professor could not manage in 5 hours of lecture time. Thank you!

[@0mauSam0]

So far one of the best explainations of cointegration ;)

[@averyuslaner4102]

I think these are extremely well done so thank you.

[@Quantopianvideos]

Thanks, Avery! We're working on making more.

[@cyberdudecyber]

Great Job! Thanks!

[@Azam_Pakistan]

Great job.Keep it up

[@davidheilbron]

Thank you, very well explained. Nevertheless, not every stationary process is I(0). Take, for example, Y(t)=e(t)-e(t-1), it is stationary but not invertible, therefore, not I(0).

[@abdelrahmanfayez2402]

Thank you sir

[@sabreenkhan3498]

Thank u so much

[@akhliddinismailov2412]

I have a question: If I have some variables stationary while others are not stationary in my model but non stationary variable stationary in the first difference. Should I do cointegration test or I can't do it?

[@chowchowfilm5265]

At the last part, the coefficient from the regression test is positive but the linear combination you used is negative?

[@navketan1965]

Sir, Have you tried pair trading forex using rsi7 ,rsi14,rsi30 (add them up for comparison) say on hourly chart & selling strong pair & buying weak pair--pairs have to be highly correlated(eg aud/usd and nzd/usd OR dow30 & sp500).One can do this on any correlating underlying stocks/commodities/futures/crypto/bonds. Trading on hourly charts there would be tons of opportunities all year around.

[@bbbfsvx]

rip

[@abdolreza82]

Python is just a toy compared to R in time-series analysis. I don't understand why people even use it to teach someone any concepts in TS.

[@architsharma292]

cause you cannot make sexy algorithms using the other libraries in R?
for the sake of using the same environment throughout the project?