Cointelation & Inferred Correlation Models (Part 1/2)

Babak Mahdavi-Damghani's presentation on the Cointelation model. Abstract: within the framework of the financial industry, when representing relationships between assets, correlation is typically used. However, academics have long since questioned this method due to the plethora of issues that plague it. Indeed, it is thought that cointegration is a natural replacement in some of the cases as it is able to represent the physical reality of these assets better. We will introduce in this presentation the concept of Cointelation which is a portmanteau neologism in finance, designed to signify a hybrid method between COINTegration and corrELATION techniques. We will also introduce its immediately use-able industry mirror which we have named Inferred Correlation. Finally, we will examine few examples bearing in mind the new challenging regulatory environment. Video in 2 parts. This represents part 1. Related work: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3521933 Relevant papers can be downloaded here: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2429120 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2429142 Relevant site: http://eqrc.co.uk/projects/rmcandc/