Spurious Regression
Methodology· DE: Scheinkorrelation
A high R² between two independently trending series that reflects the shared trend, not a real relationship. The tell: the levels-R² is high while the returns/first-difference R² is ~0 and the cointegration test fails. Classic trap of "log BTC vs log M2/liquidity" charts.
Calculation
Compare levels-R² (regress log-levels) against returns-R² (regress Δlog). A large gap (levels high, returns ≈0) plus a failed cointegration test ⇒ spurious.
Unit & source
ratio · tradingstrategies.work BTC-Liquidity-Fair-Value methodology
Related terms
Definitions are for research and education. Metrics describe market conditions — not financial advice or a buy/sell signal.