- 23 Eki 2020
Has anyone written any MS or AB code to solve for cointegration?
If not, does anyone have the forumula in English so that I could try to code it to be shared by all?
I'm trying to improve on my "pairs" trading systems that are currently just using correlation coefficients.
fmlvar I never got it got much out of it. Good concept though.
If you get it right fix and repost Donald