From 016d049845a24922719d75a41f4cc86cb3541346 Mon Sep 17 00:00:00 2001 From: Brian Date: Wed, 13 Apr 2022 00:04:10 -0400 Subject: [PATCH] readme --- README.md | 5 ++--- 1 file changed, 2 insertions(+), 3 deletions(-) diff --git a/README.md b/README.md index 16862e1..57a7394 100644 --- a/README.md +++ b/README.md @@ -169,7 +169,7 @@ In breif, we essentially just want to see a result >= 1 on the variance ratio te Cointegration, for out purposes is just the process of finding a linear combination of time series that will (linearly combine to) form a stationary (mean reverting) time series. It is rare(impossible) to find any stock or dervative's price that will be stationary for any meaningful amount of time. Therefore, we need to be able to snythesis a stationary time series using a combination of stocks, or other securities. The following tests will tell you if two or more time series do cointegrate (linearly combine to form a stationary time series) and give your thier hedge ratio - + Note that this is for all t such that t is in the bounds of the window in the time series we are analyzing. ## Determining the Hedge Ratio - Linear Combination @@ -189,11 +189,10 @@ cadf_test(input_data["GLD"], input_data["USO"] ) ``` Output ---------------------- - (-2.272435700404821, 0.3873847286679448, array([-3.89933891, -3.33774648, -3.0455719 ])) - + ```