Search Results - subject_exact:"Mean reversion"

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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639047

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

Sun, Yufei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015455221

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015462986

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636175

Mean reversion trading on the naphtha crack

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

Persistent link: https://www.econbiz.de, 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

Multivariate rough volatility

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015326256

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015416376

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

Mousavi, Ahmad; Michilidis, George - 2025

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015459557

Effective convergence trading of sparse, mean reverting portfolios

Rácz, Attila; Fogarasi, Norbert - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591107

Expected stock returns in bullish times

Estrada, Javier - 2025

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013549738

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014500716

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

Leung, Tim; Lu, Kevin W. - 2023

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015357758

The multivariate fractional Ornstein-Uhlenbeck process

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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

On the spectral density of fractional Ornstein-Uhlenbeck processes

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015553749

A mean reverting affine GARCH model for commodities

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620663

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://www.econbiz.de, 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

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012872753

Modeling momentum and reversals

Stein, Harvey J.; Pozharny, Jacob - 2022

Stock prices are well known to exhibit behaviors that are difficult to model mathematically. Individual stocks are observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum. Here we show that individual stocks can be modeled by simple...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013555665

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

Mousavi, Ahmad; Shen, Jinglai - 2023

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014500531

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

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014252694

Investigating mean reversion in financial markets using Hurst model

Enow, Samuel Tabot - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014413995

Breaking bad trends

Goulding, Christian L.; Harvey, Campbell R.; Mazzoleni, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014576152

Euro area inflation in the era of COVID-19 : a permanent or a transitory phenomenon?

Apergēs, Nikolaos - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014532220

Comparisons of residual income model and growth value model

Yeh, I-Cheng - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014470996

The short-term mean reversion of stock price and the change in trading volume

Jung, Woosung; Kang, Mhin - 2021

This study aims to analyze the effect of change in trading volume on the short-term mean reversion of the stock price in the Korean stock market. Through the variance ratio test, this paper finds that the market shows the mean reversion pattern after 2000, but not before. This study also...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012658724

Average crossing time : an alternative characterization of mean aversion and reversion

Donaldson, John B.; Mehra, Rajnish - 2021

This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the "Average Crossing Time" or ACT. We argue that the ACT...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012598519

The market price of jump risk for delivery periods: pricing of electricity swaps with geometric averaging

Kemper, Annika; Schmeck, Maren Diane - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437981

Empirical evidence of the market price of risk for delivery periods

Kemper, Annika; Schmeck, Maren Diane - 2025

In this paper, we provide empirical evidence of the market price of risk for delivery periods (MPDP) of electricity swap contracts. The MPDP enables an accurate pricing of such contracts in the presence of the delivery period such that the typical approximations can be avoided. In our empirical...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015331183

Time-varying efficiency and economic shocks : a rolling DFA test in Western European stock markets

Boya, Christophe Musitelli - 2025

This paper investigates the time-varying efficiency of Western European stock markets and examines how macroeconomic events defined as endogenous and exogenous shocks influence the degree of efficiency by either long-range dependence or mean reverting. We apply a rolling-window detrended...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015457877

The market price of jump risk for delivery periods : pricing of electricity swaps with geometric averaging

Kemper, Annika; Schmeck, Maren Diane - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015526414

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

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

Eligibility criteria for interventions can induce an Ashenfelter Dip, and subsequent mean-reversion may result in improvement over time even absent the intervention. We investigate these dynamics for a food-as-medicine program to treat diabetes, where eligibility required elevated hemoglobin A1c...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195015

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

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015562304

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591437

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

Yeh, I-Cheng - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015532941

Persistence in the realized betas : some evidence for the Spanish stock market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies with the highest market capitalization included in the Spanish IBEX stock market index. Fractional integration methods are applied to estimate their degree of persistence at the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012194334