Results 91 to 100 of about 4,922,677 (379)
Are Current Accounts of Asian Economies Mean-reverting?: Nonlinear Unit Root Test Approach
East Asian Economic Review, 2005 This paper tests the mean reverting property of current account in the financial crisis-affected 5 counties of southeast Asia using nonlinear unit root tests of Park and shintani(2004). Our approach is based on the idea that a conventional unit root test
Bonghan Kim
doaj +1 more source
A Threshold Type Policy for Trading a Mean-Reverting Asset with Fixed Transaction Costs
Risks, 2018 A mean-reverting model is often used to capture asset price movements fluctuating around its equilibrium. A common strategy trading such mean-reverting asset is to buy low and sell high.
Phong Luu, Jingzhi Tie, Qing Zhang
doaj +1 more source
A regime-switching model of stock returns with momentum and mean reversion
Economic Modelling, 2023 Javier Giner, Valeriy Zakamulin
semanticscholar +1 more source
Advanced Functional Materials, EarlyView.An oral nanoplatform, MOP@T@D, which can maintain glucose homeostasis and restore islet β cells in diabetic rats is developed. It achieves efficient intestinal absorption and liver‐targeted delivery. The nanoparticle disintegrates only in response to hyperglycemia to release insulin on demand and provides antioxidant protection through selenoprotein ...
Chenxiao Chu +14 more
wiley +1 more source
Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation [PDF]
After the stock market crash of 1987, Fischer Black proposed a model in which he explained the crash by inconsistencies in the formation of expectations of mean reversion in stock returns.
Eric Hillebrand
core
The Anisotropic Adsorption of De Novo Allosteric Two‐Component Protein Fibers on Mica Surfaces
Advanced Functional Materials, EarlyView.In this study, the interfacial behavior of de novo designed proteins that self‐assemble into tubular architectures with distinct morphologies — small (S), large (L), and helical (H) fibers — at the muscovite mica‐water interface is explored using in situ AFM. Abstract Protein adsorption at solid–liquid interfaces underlies many biomedical and materials
Chenyang Shi +7 more
wiley +1 more source
Using mean reversion as a measure of persistence [PDF]
This paper elaborates on the alternative measure of persistence recently suggested in Marques (2004), which is based on the idea of mean reversion. A formal distinction between the “unconditional probability of a given process not crossing its mean in ...
Dias, Daniel, Robalo Marques, Carlos
core +3 more sources
Testing the Box-Cox Parameter for an Integrated Process [PDF]
This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically.
Jian Huang +2 more
core +3 more sources
Wacana: Jurnal Sosial dan Humaniora, 2012 Reverse mean reversion and predictability of stock return is probably the most well researched topic in the empirical research of financial economics. Numerous empirical studies have been unable to reject the hypothesis that return unpredictable and that
Aster Indah Widowati +2 more
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International Journal of Financial StudiesThis paper investigates how market expectations regarding profitability mean reversion are reflected in stock prices. We propose a model that infers implicit expectations of future earnings using publicly available share prices based on the assumption ...
Miroslava Vlčková, Tomáš Buus
doaj +1 more source