{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T06:45:15Z","timestamp":1791873915426,"version":"4.3.4"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>An adaptive forecast error and a price relation held fixed at entry are different objects. We examine this distinction through exact filter identities, a constant-gain counterexample, simulation diagnostics and a descriptive intraday equity study. The counterexample shows that stationary adaptive errors need not imply cointegrated prices. In the two random-walk simulation designs, Engle-Granger rejection on log prices ranges from 2.8% to 5.0%, whereas nominal augmented Dickey-Fuller rejection on a training-selected filter's forecast error rises from 22.8-24.2% at 500 training observations to 100% at 8000. These procedures test different objects. In 30 selected NSE pairs and 696 June 2026 events, equal-pair contraction rates are 97.96% for adaptive errors and 45.72% for fixed relations. This comparison is conditional on the adaptive signal trigger, reference levels, holding horizon and execution convention; it does not isolate the effect of coefficient revision. No pair survives the reported multiplicity adjustment. The results motivate separate reporting of model diagnostics, fixed-relation contraction and fixed-share trading returns, without establishing a general stationarity result or profitable strategy.<\/jats:p>","DOI":"10.2139\/ssrn.7596798","type":"posted-content","created":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T05:50:56Z","timestamp":1791870656000},"source":"Crossref","is-referenced-by-count":0,"title":["Model Convergence Is Not Price Convergence: Adaptive Forecast Errors and Fixed Signal-Time Relations in Pairs Trading"],"prefix":"10.2139","author":[{"given":"Naren Karthick","family":"Thiruvengadam","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0009-0007-6168-8979","authenticated-orcid":true,"given":"Soham","family":"Parundekar","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Saransh","family":"Bhandari","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Yash","family":"Shah","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Mehul","family":"Mehta","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T05:51:37Z","timestamp":1791870697000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7596798"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7596798","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}