Much literature exits on cointegration in academic textbooks, academic articles and other more practical sources. A few are below.
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