In an upcoming post, Vital Data Science will provide a Global Macro update and our top pair trade ideas. The files included below are part of the analysis. These PDFs are intended to be samples only. The data has been trimmed to save space. If you would like the complete excel format files please contact us.

Description: Correlation and cointegration data for almost every stock on the NYSE. Sorted 1) alphabetically, 2) top 300 by correlation.

File: Cointegration data for NYSE stocks 2015-12-20

Description: Potential pair trades for NYSE listed stocks. After calculating correlation and cointegration between many of the shares traded on the NYSE, we created this list for further investigation. The list is sorted based on current spread, however the spread between each stock pair is significant. Please note that just because two stocks are mathematically cointegrated and have a statistically significant spread does not mean the spread will close. Thorough fundamental analysis is needed to assess the likelihood of the spread closing, and expected timing of such closure. For three pair picks which we believe are likely to close please see our future Quantessential Views piece. 

File: Cointegrated stock pairs with significant spreads on the NYSE


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