Problem sets
Problems
Every problem in the course. Solutions sit behind a deliberate step on each problem page.
to difficulty Check numeric answers checked on the page
18 shown
M13A Cointegration, pairs and statistical arbitrage 18
- P1 The DF distribution and the probability of "mean reversion" ★★ Check
- P2 ADF reparametrisation ★ Check
- P3 How spurious -statistics grow ★★ Check
- P4 (a cointegrated VAR(1) by hand) ★★ Check
- P5 Engle–Granger in practice ★★
- P6 Johansen arithmetic ★★ Check
- P7 (OU parameters from an AR(1)) ★ Check
- P8 Passage times and a band ★★ Check
- P9 Bertram's optimal symmetric band ★★ Check
- P10 Three hedge ratios ★ Check
- P11 Kalman steady state ★★ Check
- P12 One Kalman step by hand ★ Check
- P13 A Chow test ★★ Check
- P14 Data snooping in break tests ★★★ Check
- P15 Lots and hedge ratios ★ Check
- P16 Is the gold/silver ratio tradeable? ★★ Check
- P17 Case analysis: testing whether a merger broke a pair ★★★
- P18 A merger as a known cointegrating vector ★ Check