Time Series: Cointegration Analysis

Cointegration

Although not a new topic in finance and portfolio management, as some of the tweets below suggest, it’s application in field of Agricultural Economics and commodity market analysis is not often highlighted. A tweet relating S2F and bitcoin (BTC) trading was posted recently.

In this post, I demonstrate what are the basic ingredients of the cointegration analysis. In particular, I provide some context as to how it came to being and what it’s roots are in theory. While catching along the core applications, I will use example dataset and present its features, in synology.