Mutual cointegration, single correlation

To clarify concepts; let X and Y two vectors (series datorum)

• Cointegration between two data series:

X and Y are 1-cointegrated if exists a, ut such that: xt = a·yt + ut

with u stationary in average and variance.

Cointegration tries to capture historical trends and dynamics between two series.

• Single correlation between two data series:

Correlation captures any kind of relationship between two series

Does not include any kind of historical trends, considering only how one variable explain point by point the other one.

More information on:

http://en.wikipedia.org/wiki/Cointegration

http://en.wikipedia.org/wiki/Correlation