Results 1 to 10 of about 4,922,677 (379)
Stock market responses to COVID-19: The behaviors of mean reversion, dependence and persistence [PDF]
Heliyon, 2023 We examine stock market responses during the COVID-19 pandemic period using fractional integration techniques. The evidence suggests that stock markets generally follow a synchronized movement before and the stages of the pandemic shocks.
Yener Coskun +3 more
doaj +3 more sources
Mean Reversion: A New Approach
SSRN Electronic Journal, 2020 In this paper, we review briefly existing approaches to statistical arbitrage and mean reversion and then proceed to present a new approach that combines model-independence, through the use of neural networks, with information theory. The neural networks
Tarek Nassar, Sandro Ephrem
semanticscholar +3 more sources
Mean Reversion Lessens Mean Blur: Evidence from the S&P Composite Index [PDF]
International Journal of Financial Studies, 2023 This study makes use of a very long time series of the S&P Composite Index, checking once more that the rates of return benefit from aggregational normality.
Luigi Buzzacchi, Luca Ghezzi
doaj +2 more sources
TRADING MULTIPLE MEAN REVERSION [PDF]
International Journal of Theoretical and Applied Finance, 2022 How should one construct a portfolio from multiple mean-reverting assets? Should one add an asset to a portfolio even if the asset has zero mean reversion? We consider a position management problem for an agent trading multiple mean-reverting assets. We solve an optimal control problem for an agent with power utility, and present an explicit solution ...
Boguslavskaya, E +2 more
openaire +6 more sources
U.S. Equity Mean-Reversion Examined [PDF]
Risks, 2013 In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL; Quant. Financ. 2010, 10, 761–782) within the Black and
Jim Liew, Ryan Roberts
doaj +4 more sources
Genetic Mean Reversion Strategy for Online Portfolio Selection with Transaction Costs
Mathematics, 2022 Online portfolio selection (OLPS) is a procedure for allocating portfolio assets using only past information to maximize an expected return. There have been successful mean reversion strategies that have achieved large excess returns on the traditional ...
Seung-Hyun Moon, Yourim Yoon
doaj +2 more sources
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models [PDF]
Finance and Stochastics, 2018 We consider an asymptotic SPDE description of a large portfolio model where the underlying asset prices evolve according to certain stochastic volatility models with default upon hitting a lower barrier.
B. Hambly, N. Kolliopoulos
semanticscholar +3 more sources
Mean-reversion and structural change in European food prices
Central Bank Review, 2018 Mean-reversion in unprocessed food prices and beef prices towards the long-run trend is examined for twenty-two European countries, using linear and nonlinear unit root tests.
Kurmaş Akdoğan
doaj +2 more sources
Analytic Valuation Formula for American Strangle Option in the Mean-Reversion Environment
Mathematics, 2022 This paper investigates the American strangle option in a mean-reversion environment. When the underlying asset follows a mean-reverting lognormal process, an analytic pricing formula for an American strangle option is explicitly provided. To present the
Junkee Jeon, Geonwoo Kim
doaj +2 more sources
Speculative Futures Trading Under Mean Reversion [PDF]
SSRN Electronic Journal, 2015 This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein-Uhlenbeck (OU), Cox-Ingersoll-Ross (CIR), or exponential Ornstein-Uhlenbeck (XOU) model. The futures term structure is derived and its connection to futures price dynamics is
Leung, Tim +3 more
openaire +4 more sources