Much literature exits on cointegration in academic textbooks, academic articles and other more practical sources. A few are below.
General & Equity related:
1. “A Drunk and Her Dog: An Illustration of Cointegration and Error Correction“
2. “A Computational Methodology for Modelling the Dynamics of Statistical Arbitrage“
3. Lags, Autocorrelation & The consequences of Autocorrelation
4. Pairs trading – Potentially twice the return, half the risk
5. Investigation of Stochastic Pairs Trading under different Volatility Regimes
6. Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities
7. “Pairs trading using cointegration approach”
8. “Selection of a Portfolio of Pairs Based on Cointegration: The Brazilian Case”
Foreign Exchange related:
