Cointegration Analysis Cointegration testing identifies pairs of assets that share a long-run equilibrium relationship, enabling statistical arbitrage and pairs trading strategies. What Is Cointegration? Two price series are cointegrated when they are individually non-stationary (random walks) but a linear combination of them is stationary (mean-reverting). Intuitively, the prices may wander apart temporarily but are pulled back to an equilibrium spread over time. Cointegration vs Correlation | Property | Correlation | Cointegration | |---|---|---| | Measures | Short-term co-movement | Long-r…