1 link tagged with all of: hedge-funds + econometrics + cointegration
Click any tag below to further narrow down your results
Links
Hedge funds pay $650K–$950K a year for quants who spot cointegrated price pairs rather than mere correlation. Nobel laureate Robert Engle’s free lecture covers the Engle-Granger and related tests and explains why ongoing maintenance—retesting relationships, sizing for costs and monitoring p-values—is what sustains the trading edge.