§3 Engle-Granger 2-step — OLS the levels, ADF on the residual §4 Johansen trace test — multi-equation cointegration, the rank decision, the choice of det_order §5 VECM estimation — the long-run β, the ...

Statistical arbitrage (stat-arb) is one of the oldest and most widely-used strategies in quantitative finance. The core idea is simple: find two assets whose prices move together over time. When their ...