[R-SIG-Finance] cointegration & reversion to mean

[Stephen Choularton]

Hi

I am very interested in learning more about cointegration & reversion to 
mean when used for spread trading.

I have a working handle on cointegration thanks to

http://quanttrader.info/public/testForCoint.html

but I am getting nowhere with the Ornstein-Uhlenbeck approach to letting 
me predict time-to-profit as described in

http://epchan.blogspot.com/2007/01/what-is-your-stop-loss-strategy.html

and it strikes me that there must be some work on how far from the mean 
the spread has drifted before it is sensible to take a position but I 
haven't found it yet.

If anyone can point me to work on all these subjects I would be most 
grateful.
-- 
Stephen Choularton Ph.D., FIoD