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Web Results

en.wikipedia.org/wiki/Mean_reversion_(finance)

In finance, mean reversion is the assumption that a stock's price will tend to move
to the ... A historical

www.math.nyu.edu/faculty/avellane/Lecture5Quant.pdf

Lecture 5:

people.ucalgary.ca/~aswish/5th_N_S_DialogTalk.ppt

Mean-Reversion Stochastic Process.

math.stanford.edu/~papanico/pubftp/meanrev8.pdf

relation between asset price and volatility shocks, the rate of

commoditymodels.files.wordpress.com/2010/02/estimating-the-parameters-of-a-mean-reverting-ornstein-uhlenbeck-process1.pdf

particular the difficult of estimating the speed-of-

www.actuaries.org.uk/documents/mean-reversion

Jun 21, 2004

quant.stackexchange.com/questions/18602/speed-of-mean-reversion-of-an-interest-rate-model

Jun 30, 2015

www.investmentscience.com/Content/howtoArticles/MLE_for_OR_mean_reverting.pdf

www.skorodumov.net/pdf/report_oct_08.pdf

The presence of mean reversion was investigated from historical data of Henry ...
factor

www.dnb.nl/en/binaries/working paper 284_tcm47-252978.pdf

only find weak statistical evidence for

More Info

marcoagd.usuarios.rdc.puc-rio.br

For commodities and interest rates (and perhaps for exchange rates)

elib.suub.uni-bremen.de

www.investopedia.com