Table 7 p-values of the Johansen cointegration test (\(r_0, r_1\)) for all pairs
From: Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
SOL | MKR | IOTA | BNB | |||||
|---|---|---|---|---|---|---|---|---|
\(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | \(r_0\) | \(r_1\) | |
AXS | 0.0010 | 0.0044 | 0.0042 | 0.0051 | 0.0080 | 0.0084 | 0.0015 | 0.0029 |
BNB | 0.0395 | 0.0070 | 0.0187 | 0.0082 | 0.0434 | 0.0156 | ||
IOTA | 0.0268 | 0.0085 | 0.0077 | 0.0103 | ||||
MKR | 0.0176 | 0.0040 | ||||||