Search Results - subject_exact:"CIR process"

Study on the validity of volatility trading

Castillo, Alberto; Mcwilliams, Jose Manuel Mira - 2026

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the 100 most actively traded U.S. equities from 2018 to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628389

Human-AI synergy in statistical arbitrage : enhancing robustness across volatile financial markets

Lei, Binxu - 2026

This study provides a structured review of statistical arbitrage research in the context of artificial intelligence, with a particular focus on machine learning based methods. The reviewed literature highlights the evolution from linear, rule-based strategies to increasingly complex data-driven...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639047

Drivers of mean reversion bias in the estimation of elasticity of taxable income in an autoregressive framework

Bosco, Bruno; Maranzano, Paolo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064139

Do investors tend to overreact when investing in clean energy stock indices?

Dias, Rui; Galvão, Rosa Morgado; Cruz, Sandra; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015416376

A survey of statistical arbitrage pairs trading strategies with non-machine learning methods, 2016-2023

Sun, Yufei - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015455221

Statistical proxy based mean-reverting portfolios with sparsity and volatility constraints

Mousavi, Ahmad; Michilidis, George - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015459091

Mean reversion of the soybean crush spread : a new model and trading strategies

Abdoh, Hussein; Chitavi, Michael - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015459557

Modeling market expectations of profitability mean reversion : a comparative analysis of adjustment models

Vlčková, Miroslava; Buus, Tomáš - 2025

This 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 that markets efficiently incorporate...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015462986

Effective convergence trading of sparse, mean reverting portfolios

Rácz, Attila; Fogarasi, Norbert - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591107

Mean reversion trading on the naphtha crack

Turquet, Briac; Bajgrowicz, Pierre; Scaillet, Olivier - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015606773

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Mean reversion trading on the naphtha crack

Turquet, Briac; Bajgrowicz, Pierre; Scaillet, Olivier - 2024

Book / Working Paper

Expected stock returns in bullish times

Estrada, Javier - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015637726

Optimal firm's dividend and capital structure with mean reverting profitability

Menoncin, Francesco; Panteghini, Paolo; Regis, Luca; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015484362

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Optimal firm's dividend and capital structure with mean reverting profitability

Menoncin, Francesco; Panteghini, Paolo; Regis, Luca; … - 2025

Article

Mean reversion and long memory dynamics in the Shanghai Containerized Freight Index

Claudio-Quiroga, Gloria; Gil-Alaña, Luis A.; … - 2025

This paper deals with the investigation of the long memory properties of the Shanghai Containerized Freight Index for the time period from 16 October 2009 to 18 October 2024. Using fractional integration methods, we want to determine if shocks in the series have transitory or permanent effects....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070358

Persistent and long-term co-movements between gender equality and global prices

Infante, Juan; Rio, Marta del; Gil-Alaña, Luis A. - 2024

This paper investigates the relationships of the Bloomberg Gender Equality Index and the MSCI World Index in global financial markets. The main objective is to analyze the degree of integration of each index from a fractional perspective for the years 2014-2021. The methodology involves...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014636175

The multivariate fractional Ornstein-Uhlenbeck process

Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015084279

Modelling profitability of private equity : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014451482

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Modelling profitability of private equity : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2022

Book / Working Paper

Earnings mean reversion and dynamic optimal capital structure

Agliardi, Elettra; Charalambides, Marios; Koussis, Nicos - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015050809

Pricing VIX options based on mean-reverting models driven by information

Yin, Ya-Hua; Zhu, Fu-min; Zheng, Zun-Xin - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015133585

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Pricing VIX Options Based on Mean-Reverting Models Driven by Information

Yin, Yahua; Zhu, Fumin; Zheng, Zunxin - 2023

Book / Working Paper

Multivariate rough volatility

Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015326256

On the spectral density of fractional Ornstein-Uhlenbeck processes

Shi, Shuping; Yu, Jun; Zhang, Chen - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015553749

A mean reverting affine GARCH model for commodities

Escobar, Marcos; Pan, Kaize; Stentoft, Lars - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620663

Mean reversion lessens mean blur : evidence from the S&P composite index

Buzzacchi, Luigi; Ghezzi, Luca - 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. It performs unit root tests as well as elementary statistical tests that take advantage of normality. It finds that mean blur is not...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013549738

A penalty decomposition algorithm with greedy improvement for mean-reverting portfolios with sparsity and volatility constraints

Mousavi, Ahmad; Shen, Jinglai - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014259187

Valuing forestry agronomic potential under seasonal mean-reverting prices

Leon, Angel; Marín, Eyda; Toscano, David - 2023

In the valuation of forest resources, the alternative uses of the land is one of the central themes. In most cases it is made without taking into account the uncertainty and the possible flexibility of the alternative use. Within these alternatives, the strategy of shifting to a more profitable...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014355362

A Time Series Analysis of Corporate Profit Rates in Selected Developed Economies : Asymmetries, Non-Linearity and Mean Reversion

Trofimov, Ivan D - 2023

This study examines the dynamic behaviour of corporate profits in selected developed economies using the quarterly data. Firstly, the non-linear and asymmetric behaviour is considered: the presence of general form of nonlinearity (based on linear autoregressive model, third order moments and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014355921

The firms' debt reversibility trend : an application to a large sample of industrial SMEs

Carvalho, António; Sardo, Filipe; Pacheco, Luís Dias - 2023

The corporate debt reversibility analysis can be carried out not only from the owner/manager's active intervention perspective but also from the perspective of a mechanical reversion, independent of owner/managers' deliberations. Our study aims to discover how and which theoretical perspective...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014500531

Modelling asymmetric sovereign bond yield volatility with univariate GARCH models : evidence from India

Lithin BM; Chakraborty, Suman; Iyer, Vishwanathan; Nikhil MN - 2023

Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing through markets with little connection to such fundamentals? To answer the question, this research explores the volatility dynamics and measures the persistence of shocks to the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014500716

On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison

Shi, Shuping; Yu, Jun; Zhang, Chen - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014320456

A diversification framework for multiple pairs trading strategies

Lee, Kiseop; Leung, Tim; Ning, Boming - 2023

We propose a framework for constructing diversified portfolios with multiple pairs trading strategies. In our approach, several pairs of co-moving assets are traded simultaneously, and capital is dynamically allocated among different pairs based on the statistical characteristics of the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014333526

Profitability of private equity : mean reversion and transitory shocks

Gil-Alaña, Luis A.; Puertolas-Montanes, Francisco - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014252694

Investigating mean reversion in financial markets using Hurst model

Enow, Samuel Tabot - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014413995

Monte Carlo simulation for trading under a Lévy-driven mean-reverting framework

Leung, Tim; Lu, Kevin W. - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015051244

Household expenditure in Africa : evidence of mean reversion

Olalude, Gbenga A.; Yaya, OlaOluwa S.; Olayinka, Hammed A. - 2023

This paper investigates the mean reversion in household consumption expenditure in 38 African countries; the expenditure series used were the percentage of nominal Gross Domestic Product (GDP), each spanning 1990 to 2018. Due to a small sample size of time series of household expenditure, with...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015052190

Anchor reversion : the case of the 52-week high and asset prices

Blau, Benjamin; Griffith, Todd; Whitby, Ryan J.; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015357758

Mean reversion in randomized controlled trials : implications for program targeting and heterogeneous treatment effects

Alsan, Marcella; Cawley, John H.; Doyle, Joseph J.; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063700

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Mean Reversion in Randomized Controlled Trials : Implications for Program Targeting and Heterogeneous Treatment Effects

Alsan, Marcella; Cawley, John H.; Doyle, Joseph J.; … - 2025

Book / Working Paper

Comparison of volatility and mean reversion among developed, developing and emerging countries

Arsalan, Tazeen; Chishty, Bilal Ahmed; Ghouri, Shagufta; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015416624

Managing agriculture commodity price uncertainty with crop switching : a real options approach

Bastian-Pinto, Carlos L.; Bastian, Luiz G.; Brandão, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015562304

Revisiting key mortality rate models : novel findings and application of CIR processes to describe mortality trends

Atance, David; Navarro Arribas, Eliseo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015593647

Option pricing and parameter estimation for uncertain mean-reverting currency model

Zhou, Lujun; He, Zhenhua; Liu, Jianmin; Yin, Xiaolan - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591437

A closed form formula for equity valuation model based on differential equation

Yeh, I-Cheng - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015532941

Momentum and Mean Reversion in a Semi-Markov Model for Stock Returns

Giner, Javier; Zakamulin, Valeriy - 2022

A vast body of empirical literature documents the existence of short-term momentum and medium-term mean reversion in various financial markets. By contrast, there is still a great shortage of theoretical models that explain the presence of these two common phenomena. We develop a semi-Markov...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013309729

Nominal and real wages in the UK, 1750 - 2015 : mean reversion, persistence and structural breaks

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022

This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013417630

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Nominal and Real Wages in the UK, 1750 - 2015 : Mean Reversion, Persistence and Structural Breaks

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022

Book / Working Paper

Mean reversions in major developed stock markets : recent evidence from unit root, spectral and abnormal return studies

Nguyen, James; Li, Wei-Xuan; Chen, Clara Chia Sheng - 2022

We revisited the issue of return predictability in three major developed markets (USA, UK and Japan) using a unique dataset from the Wharton Research Data Services database and a comprehensive set of traditional and recent statistical methods. We specifically employed a variety of traditional...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013272993

Estimating the market risk premium for valuations : arithmetic or geometric mean or something in between?

Kaserer, Christoph - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013440060

Pricing options on a mean-reverting asset by the analytical operator splitting method

Lo, C. F.; He, Y. W. - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013367498

Joint modelling of S&P500 and VIX indices with rough fractional Ornstein-Uhlenbeck volatility model

Önalan, Ömer - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013411688

Optimal entry and exit decisions under uncertainty and the impact of mean reversion

Tvedt, Jostein - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013461934

The option value of hydrogen retrofits for subsidy-free offshore wind farms

Heinz, Frank; Madlener, Reinhard - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014283750

Betting on mean reversion in the VIX? : evidence from ETP flows

Nielsen, Ole Linnemann; Posselt, Anders Merrild - 2022 - This version: September 1, 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012816394

A comparative analysis of the nature of stock return volatility in BRICS and G7 markets

Muguto, Lorraine; Muzindutsi, Paul-Francois - 2022

Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012872753