Course Name: Mean Reversion Strategies In Python, Section No: 9, Unit No: 14, Unit type: Notebook
Hi there,
Can you help to explain in some detail why do we take the first row of the transpose of the eigenvector to use for forming the cointegrating relationship?
Many thankls
Hi Ryan,
We take the transpose and use the first row of individual eigenvectors as it forms the strongest cointegrating spread.
Hope this helps!