Cointegration Monitor
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.
LOCKED
p-value < 0.05. The relationship is statistically intact. Spread deviations mean-revert within the estimated half-life. Business as usual.
STRETCHING
p-value 0.05–0.10. The relationship is under strain. Spread Z-scores may be elevated. Worth monitoring — could revert or break.
BREAKING
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.
Money Temperature
The instrument-level temperature scores that feed into the pair spreads. See which instruments are running hot and which are cold.
What the Cointegration Monitor measures
Two assets are cointegrated when a stable long-run relationship ties them together — the pair can drift apart day to day, but the spread between them mean-reverts. The monitor tracks Closelook's core cross-asset pairs — Bitcoin against gold (the two system-hedges), Bitcoin against the Nasdaq (risk-asset coupling), and the joint quadrant of both — and scores each pair on three questions: is the long-run relationship currently intact, how stretched is the spread against its own history, and in which direction is the tension pointing. A pair that leaves its cointegration regime is information in itself — it marks a structural change in how the two assets are being priced, not just a noisy week.
We read it alongside the Money Temperature composite: temperature says how hot each instrument runs on its own tape, cointegration says whether the relationships BETWEEN them still hold. Regime shifts show up here first when they are cross-asset in nature — the Cointegration 101 walks through the construction, the test statistics and the failure modes. Live pair states load in the dashboard above and refresh with each update cycle. closelook.net is an investment research diary — readings are our own measurements, not investment advice.