Cointegration in Forex Pairs Trading

Forex pairs trading strategy that implements cointegration is a sort of convergence trading strategy based on statistical arbitrage using a mean-reversion logic. This strategy was first introduced by Morgan Stanley in the 1980s using stock pairs, but traders found that it could be used in FX trading as well.

It has been described as a profitable strategy, so the goal of this research (click link below) is to review the cointegration in the FX market using three different approaches – Engle-Granger, Johansen test and the Hurst exponent – with some application in Eviews and Bloomberg.

Link ==> cointegration-and-fx-trading

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