One application of cointegration tests is screening candidate stocks for the investment strategy known as statistical arbitrage. This paper develops two robust tests for cointegration by using rank-based and least absolute deviation regression to modify the seminal Engle-Granger test. Critical...

Statistical arbitrage is a popular trading strategy employed by hedge funds and proprietary trading desks, built on the statistical notion of cointegration to identify profitable trading opportunities. Given the revolutionary shift in markets represented by high frequency trading (HFT), it is...