Closelooknet
Six cross-asset pairs under rolling 60-day Engle-Granger surveillance. When long-standing relationships break, markets are repricing structural assumptions — and the cascade tracker maps the domino sequence.
p-value < 0.05. The relationship is statistically intact. Spread deviations mean-revert within the estimated half-life. Business as usual.
p-value 0.05–0.10. The relationship is under strain. Spread Z-scores may be elevated. Worth monitoring — could revert or break.
p-value ≥ 0.10. The statistical link has dissolved over the 60-day window. The market is repricing the structural assumption behind this pair.
Half-life tells you how many days the spread takes to revert halfway to its mean — a short half-life (under 15 days) means the relationship snaps back fast. The Hurst exponent below 0.5 confirms mean-reversion; above 0.5 signals trending (breakdown). Variance ratio near 1.0 means random walk; well below 1.0 confirms mean-reversion.
The instrument-level temperature scores that feed into the pair spreads. See which instruments are running hot and which are cold.