Cointegration Quant Interview Guide
Cointegration quant interview guide for nonstationary series, stationary spreads, pairs-trading intuition, tests, examples, and caveats.
Candidates discussing related time series and mean-reversion ideas.
Cointegration links nonstationary series
Cointegration means individual series may wander, but some combination of them is more stable. In quant interviews, it often appears in pairs or spread discussions.
The spread is the object of interest
If two series are cointegrated, their spread may show mean-reverting behavior. The spread construction, stability, and transaction costs matter more than the label alone.
Concrete example
Two related prices might drift over time, but a weighted difference between them could remain relatively stable. That stability must be tested across periods and regimes.
Testing is fragile
Cointegration tests can be sensitive to sample choice, structural breaks, and repeated search across many pairs. Treat a detected relationship as evidence, not proof of an opportunity.
Common mistakes
Candidates often say correlation when they mean cointegration. Correlation measures co-movement; cointegration is about a stable long-run combination.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.