Results 321 to 330 of about 4,922,677 (379)
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Applied Economics Letters, 2009
This article analyses the degree of inflation persistence in the EU15 using disaggregate HICP price indices. The results, based on a nonparametric measure proposed by Marques (2004) suggest a very moderate degree of median and mean inflation persistence.
Patrick Lünnemann, Thomas Y. Mathä
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This article analyses the degree of inflation persistence in the EU15 using disaggregate HICP price indices. The results, based on a nonparametric measure proposed by Marques (2004) suggest a very moderate degree of median and mean inflation persistence.
Patrick Lünnemann, Thomas Y. Mathä
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Mean-reversion Properties of Implied Volatilities
SSRN Electronic Journal, 2010In this paper, we present a new stylized fact for options whose underlying asset is a stock index. Extracting implied volatility time series from call and put options on the DAX and FTSE indexes, we show that the persistence of these volatilities depends on the moneyness of the options used for its computation.
Florian Ielpo, Guillaume Simon
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Mean Reversion in Investment Decisions: The Case of Hollywood*
, 2020One explanation for the comparatively lower quality of movie sequels is selection bias, known in personnel economics as the Peter principle. Only abnormally successful movies are selected for a sequel.
Ryan Lampe, Romans Pancs
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Irreversibility, mean reversion, and investment timing
Economic Modelling, 2013Abstract This paper examines the effect of irreversibility on investment under mean reversion. We develop a continuous-time model wherein a risk-neutral firm is endowed with a perpetual option to invest in a project at any time by incurring a fixed investment cost at that instant.
Wong, KP, Yi, L
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Export diversification, mean-reversion of exports, and stability of export–growth causality
The international trade journal, 2019This study proposes a five-step statistical procedure to examine a linkage among export diversification, mean-reversion of exports, and stability of the export–growth causality. This linkage was assessed for France, Norway, and Switzerland between 1980Q1
F. Furuoka +2 more
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Momentum, Mean-Reversion, and Social Media: Evidence from StockTwits and Twitter
Journal of Portfolio Management, 2018In this article, the authors analyze the relation between stock market liquidity and real-time measures of sentiment obtained from the social-media platforms StockTwits and Twitter. The authors find that extreme sentiment corresponds to higher demand for
Shreyash Agrawal +3 more
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SSRN Electronic Journal, 2015
The original work by Galton on mean reversion in 1886 emphasized relative before absolute, talked about the relation of the variable with the sample average, pointed out the balance between convergence and divergence and showcased cross-domain expression of mean reversion.
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The original work by Galton on mean reversion in 1886 emphasized relative before absolute, talked about the relation of the variable with the sample average, pointed out the balance between convergence and divergence and showcased cross-domain expression of mean reversion.
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SSRN Electronic Journal, 2012
In their 1985 paper ‘Does the stock market overeact?', DeBondt and Thaler explained the idea of mean reversion and how it leads to the Loser’s portfolio of 3 years outperforming the Winner’s portfolio of the same time. Based on mean reversion, this paper illustrates a new stock selection and trend determining approach.
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In their 1985 paper ‘Does the stock market overeact?', DeBondt and Thaler explained the idea of mean reversion and how it leads to the Loser’s portfolio of 3 years outperforming the Winner’s portfolio of the same time. Based on mean reversion, this paper illustrates a new stock selection and trend determining approach.
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The misconception of mean-reversion
Journal of Physics A: Mathematical and Theoretical, 2012The notion of random motion in a potential well is elemental in the physical sciences and beyond. Quantitatively, this notion is described by reverting diffusions?asymptotically stationary diffusion processes which are simultaneously (i) driven toward a reversion level by a deterministic force, and (ii) perturbed off the reversion level by a random ...
Iddo I Eliazar, Morrel H Cohen
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