Results 331 to 340 of about 4,922,677 (379)

Distributed mean reversion online portfolio strategy with stock network

European Journal of Operational Research, 2023
Yannan Zhong, Weijun Xu, Hongyi Li, Weiwei Zhong   +3 more
semanticscholar   +1 more source

Mean Reversion and Basis Dynamics

Journal of Futures Markets, 2001
AbstractAn analytical relationship between basis change autocorrelations and thin trading effects together with partial adjustment factors is developed. Less than full price adjustments are demonstrated to lead to negative autocorrelations in basis innovation series in addition to those induced by thin trading effects.
Michael Theobald, Peter Yallup
openaire   +1 more source

Mean Reversions in GNMA Returns

Real Estate Economics, 1990
The random‐walk hypothesis is tested in the prices of mortgage‐backed securities traded in the secondary market. Using the variance ratio test, the random‐walk hypothesis is rejected for the daily GNMA bond return. We identify two components in the return series: a systematic component reflecting the market pricing on the expected information, and a ...
openaire   +1 more source

A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing

Expert systems with applications, 2022
Xin‐Jiang He, Sha Lin
semanticscholar   +1 more source

Mean Reversion in Commodity Prices

2009
In this chapter, we discuss the sources, empirical evidence and implications of mean reversion in asset prices. As for the sources of mean reversion, there are three aspects to be discussed. Firstly and most importantly, the correlation between the convenience yield and spot prices accounts for mean reversion.
openaire   +1 more source

On reverse integral mean inequalites

Houston journal of mathematics, 2006
If f is a positive integrable function, then it is well-known that for even numbers p and q ...
Mond, B., Pecaric, J., Peric, I.
openaire   +2 more sources

Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective

, 2020
Micha l Rubaszek, Zuzanna Karolak, M. Kwas   +2 more
semanticscholar   +1 more source

Asset pricing with mean reversion: The case of ships

, 2020
I. Moutzouris, N. Nomikos
semanticscholar   +1 more source

Mean Reversion in CO2 Emissions: the Need for Structural Change

Environmental and Resource Economics, 2020
P. Sephton
semanticscholar   +1 more source

Random walk or mean reversion

1998
Abstract: This paper contributes to the growing literature on mean reversion in stock markets by examining a newly constructed Danish data set for the period 1922-95. Variance ratio tests clearly reject the random walk hypothesis at the 2-year horizon, that is, the riskiness of a 2- year investment is significantly less than twice the risk of a 1-year ...
openaire   +1 more source