Tag: Pairs Trading
Basic Dickey Fuller Test
by theorangedog on Nov.02, 2007, under Skills
See the attached document for an example of how to perform a Dickey Fuller test for cointegration, along with an excerpt of the distinct t-table.
This example determines if a single data set is cointegrated. Replacing this series with the desired measure of spread between two series, or another metric such as the log ratio of two series, may be done as a method for identifying pairs trading candidates.



