I recently listened in on a Mathworks seminar about cointegration and tests used to determine if cointegration exists. I thought the best part was providing a sample trading strategy based on divergence and eventual convergence of cointegrated stocks - and how they used various tests to create indicators for the day-trading time horizon. I've always been a more long-term oriented investor - but I do see the need shift to shorter-term strategies, especially in this headline-moving market.
I will definitely delve into this area some more and share some of the trading ideas I come across along the way.
