stock returns are fairly weakly correlated across time, cointegration implies very high Sharpe ratios. To the extent that … the theoretical Sharpe ratios are "too large," this suggests that either (i) cointegration does not exist pairwise among … is little evidence of cointegration, favoring the first explanation …

&P 500. The analysis is performed with co-integration method on the 1-minute high-frequency data covering the period Jan 1 …

Partial cointegration is a weakening of cointegration that allows for the "cointegrating" process to contain a random … estimation routine, and a suitable likelihood ratio test. Then, we explore the use of partial cointegration as a means for … identifying promising pairs and for generating buy and sell signals. Specifically, we benchmark partial cointegration against …