I have been complaining about non-stationarity and how it can break statistical analysis a lot at in-person events. I finally got around to building a lecture explaining what stationarity and non-stationarity is, and threw in integration and cointegration because why not?
TL:DR Stationarity can be an invisible problem that kills all your analysis.
All lectures can be found here:
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In [9]:
check_for_stationarity(C);
When running the cell, it shows something like "p-value = 0.000452801665171 The series C is likely stationary."
Does anyone have the same problem?
Update:
I reran the code multiple times, sometimes "stationary" sometimes "non-stationary"
Hey James, that cell is there to show that the test will be confused if the function is ambiguous enough. In this case we use a mean reverting function with no trend, so it may be very hard to detect that the parameter follows anything other than a stationary random noise pattern. For example, in this modified notebook I ran that cell 1000 times and counted how many times the function returned stationary or non-stationary. In my case I got 587, but it will be a bit different each time. The point here is that the test can't do much better/worse than a coin-flip. Does this answer your question?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
