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Correlation Vs Cointegration

Longer term, both drift down over time due to path dependent negative convexity, but they mirror each other while doing so (the graph's caption was wrong about the mirroring).

Even though both are moving downwards long term (correlation), they mirror each other while doing so (cointegration).

Link:

www.math.nyu.edu/faculty/avellane/LETFRI...

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