Property that two or more I(1) (unit-root non-stationary) series admit a linear combination that is I(0) stationary: β^T boldsymbolX_t has a stable mean. The basis of pairs trading and statistical arbitrage — the cointegrating residual z_t = Y_t - β X_t is the mean-reverting 'spread' one trades. Tested via Engle-Granger two-step (residual ADF) for bivariate, or Johansen trace/eigenvalue tests for multivariate. Distinct from correlation, which is a same-frequency stationary concept and can be spuriously high for two random walks.