Statistical Arbitrage, Cointegration, and Regime-Switching Signals: Ornstein-Uhlenbeck Mean Reversion, Johansen Cointegration, Hidden Markov Regimes, and the August 2007 Quant Quake

Deep End Era. Engineering with Sankalp · Oct 29, 2026 · 1h 50m

Welcome to The Deep End. This is Episode four hundred thirty-eight: Statistical Arbitrage, Cointegration, and Regime-Switching Signals: Ornstein-Uhlenbeck Mean Reversion, Johansen Cointegration, Hidden Markov Regimes, and the August 2007 Quant Quake. Picture Manhattan on the morning of Tuesday, August seventh, two thousand seven. If you look at a Bloomberg terminal tracking the macro indices on Tuesday, August seventh and Wednesday, August eighth, two thousand seven, the world looks remarkably calm: - The S&P five hundred index is slightly up. - Credit spreads, Treasury yields, foreign…