How to calculate cointegrations of two lists?

Posted by Damiano on Stack Overflow See other posts from Stack Overflow or by Damiano
Published on 2010-05-24T09:39:09Z Indexed on 2010/05/24 9:41 UTC
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python

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statistics

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scipy

Hello everybody!

Thank you in advance for your help!

I have two lists with some stocks prices, example:

a = [10.23, 11.65, 12.36, 12.96]

b = [5.23, 6.10, 8.3, 4.98]

I can calculate the correlation of these two lists, with:

import scipy.stats

scipy.stats.pearsonr(a, b)[0]

But, I didn't found a method to calculate the co-integration of two lists.

Could you give me some advices?

Thank you very much!

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