Search Results

Nonlinear Mean Reversion in EMS Exchange Rates,
Bruce Mizrach, in Brussels Economic Review (2010)
Keywords: Mean reversion; Target zone; Random walk

Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices,
S. Manzan, H. Peter Boswijk and Cars Hommes, from Society for Computational Economics (2003)
Keywords: asset pricing, heterogeneous expectations, bubbles, mean reversion

An alternative mean reversion test for interest rates,
Ozgur Ozel and Deniz Ilalan, in Central Bank Review (2018)
Keywords: Interest rates, Unit root, Mean reversion

Scaling limits of processes with fast nonlinear mean reversion,
Thomas Cayé, Martin Herdegen and Johannes Muhle-Karbe, in Stochastic Processes and their Applications (2020)
Keywords: Processes with fast nonlinear mean reversion; Scaling limits;

Option pricing with mean reversion and stochastic volatility,
Hoi Ying Wong and Yu Wai Lo, in European Journal of Operational Research (2009)
Keywords: Finance Option Pricing Mean reversion Stochastic volatility

Mean-reversion and structural change in European food prices,
Kurmaş Akdoğan, in Central Bank Review (2018)
Keywords: Food prices, Mean-reversion, Structural break, Nonlinearity

REGIME-SWITCHING STOCK RETURNS AND MEAN REVERSION,
Steen Nielsen and Jan Overgaard Olesen, from Copenhagen Business School, Department of Economics (2001)
Keywords: Regime-Switching; Stock returns; Mean reversion; Denmark

Household Expenditure In Africa: Evidence Of Mean Reversion,
Olaoluwa Yaya, Gbenga A Olalude, Hameed A Olayinka, Toheeb A Jimoh and Aliu A Adebiyi, from University Library of Munich, Germany (2020)
Keywords: Household expenditure; Poverty level; Mean reversion; Africa

Mean reversion in profitability for non-listed firms,
Kjell Bjørn Nordal and Randi Næs, from Norges Bank (2009)
Keywords: Non-listed firms, profitability, mean reversion

Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path,
Vadhindran K. Rao, in JRFM (2011)
Keywords: Multiperiod hedging; futures; mean reversion

On existence of moment of mean reversion estimator in linear diffusion models,
Yong Bao, Aman Ullah and Victoria Zinde-Walsh, in Economics Letters (2013)
Keywords: Expectation; Mean-reversion parameter; MLE;

Mean Reversion Lessens Mean Blur: Evidence from the S&P Composite Index,
Luigi Buzzacchi and Luca Ghezzi, in IJFS (2023)
Keywords: stock index; mean reversion; mean blur

Mean Reversion on Global Stock Markets,
Wolfgang Drobetz and Patrick Wegmann, in Swiss Journal of Economics and Statistics (SJES) (2002)
Keywords: Asset Pricing; Mean Reversion; Variance Ratios; Regime Switching; Monte Carlo Simulation

Mean Reversion with Drift and Real Options in Steel Industry,
Luiz de Magalhães Ozorio, Carlos de Lamare Bastian-Pinto, Tara Nanda Baidya and Luiz Eduardo Teixeira Brandão, in Brazilian Review of Finance (2012)
Keywords: stochastic processes, real options, mean reversion models, steel industry

Volatility Mean Reversion and Stock Market Efficiency,
Hojatallah Goudarzi, in Asian Economic and Financial Review (2013)
Keywords: Stylized facts, Random Walk, Mean reversion, Market efficiency, Unit root.

Nonlinear adjustment to the mean reversion of consumption–income ratio,
Elmi, Zahra (Mila) and Omid Ranjbar, in Economic Modelling (2013)
Keywords: Consumption–income ratio; Mean reversion; Fourier stationary test;

Mean reversion in US and international short rates,
Charlotte Christiansen, in The North American Journal of Economics and Finance (2010)
Keywords: Short term interest rate Mean reversion Extreme value Nonlinearity

Momentum and mean-reversion in commodity spot and futures markets,
Denis B. Chaves and Vivek Viswanathan, in Journal of Commodity Markets (2016)
Keywords: Commodity futures; Basis; Momentum; Mean-reversion; Trend-following; Trading strategies;

Speculative Futures Trading under Mean Reversion,
Tim Leung, Jiao Li, Xin Li and Zheng Wang, in Asia-Pacific Financial Markets (2016)
Keywords: Optimal stopping, Mean reversion, Futures trading, Roll yield, Variational inequality

Mean Reversion in US and International Short Rates,
Charlotte Christiansen, from Department of Economics and Business Economics, Aarhus University (2008)
Keywords: Short term interest rate, Mean reversion, Extreme value, Nonlinearity

Mean reversion in per capita GDP of Asian countries,
Aviral Tiwari and K.G. Suresh, in Journal of Economic Studies (2014)
Keywords: Asian countries, Heterogeneous panel, Mean reversion, Nonlinearity, Panel unit root

MEAN-REVERSION OF NET PROFITABILITY AMONG POLISH PUBLIC COMPANIES,
Jacek Welc, in Accounting & Taxation (2011)
Keywords: mean-reversion of earnings, corporate profitability, forecasting earnings

The effect of mean reversion on entry and exit decisions under uncertainty,
Andrianos Tsekrekos, in Journal of Economic Dynamics and Control (2010)
Keywords: Investment Uncertainty Real options Mean reversion

A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options,
Jun Ma, in Asia-Pacific Financial Markets (2009)
Keywords: Mean reversion, Stochastic correlation, Multi-assetoption,

Determinants of Differential Rent Changes: Mean Reversion versus the Usual Suspects,
Alan Dorfman, William Johnson, Fred Marsh, Robert Poole, Owen Shoemaker and Randal Verbrugge, from Federal Reserve Bank of Cleveland (2015)
Keywords: location; rent stickiness; mean reversion; inflation measurement

Bias in the estimation of mean reversion in continuous-time Lévy processes,
Yong Bao, Aman Ullah, Yun Wang and Jun Yu, in Economics Letters (2015)
Keywords: Bias; Mean reversion parameter; Lévy processes;

Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process,
Aman Ullah, Yong Bao and Yun Wang, from University of California at Riverside, Department of Economics (2014)
Keywords: Distribution, Mean Reversion Estimator, Ornstein-Uhlenbeck Process.

Futures Trading Under Mean Reversion,
Tim Leung and Xin Li, from World Scientific Publishing Co. Pte. Ltd. (2016)
Keywords: Trading Strategies, Mean Reversion, Optimal Stopping, Optimal Switching, Stop-Loss, Stochastic Processes, Exchange-Traded Funds (ETFS), Ornstein–Uhlenbeck Model, Cox-Ingersoll-Ross (CIR) Model,

Re-Examining the Mean Reversion of Inflation Rate in ECOWAS,
Bedi Guy Hervé Drama, in Asian Economic and Financial Review (2018)
Keywords: Inflation rate, ECOWAS, Mean-reversion, PANIC, The Pooled MSB, Panel unit roots

On the efficacy of optimized exit rule for mean reversion trading,
Donovan Lee and Tim Leung, in International Journal of Financial Engineering (IJFE) (2020)
Keywords: Pairs trading, mean reversion, optimal stopping, maximum likelihood estimation, stop-loss

U.S. Equity Mean-Reversion Examined,
Jim Liew and Ryan Roberts, in Risks (2013)
Keywords: Black–Litterman; US stocks; dynamic trading strategy; mean-reversion; quantitative finance; statistical arbitrage

Variance swaps with mean reversion and multi-factor variance,
Bin Wu, Pengzhan Chen and Wuyi Ye, in European Journal of Operational Research (2024)
Keywords: Stochastic processes; Variance swap; Mean reversion; Long-term variance; Option pricing;

The Mean Reversion Stochastic Processes Applications in Risk Management,
Petar Radkov, from University Library of Munich, Germany (2010)
Keywords: Risk Management, Stochastic Processes, Mean Reversion, Monte Carlo Simulation, Calibration interest rate processes,

Conditional mean reversion of financial ratios and the predictability of returns,
C. Boucher, A. Jasinski and S. Tokpavi, in Journal of International Money and Finance (2023)
Keywords: Return predictability; Valuation ratios; Mean reversion; Business cycle; Term spread; Credit spread;

Asymmetrical return on equity mean reversion and catering,
An-Sing Chen and Shih-Chieh Lin, in Journal of Banking & Finance (2011)
Keywords: Asymmetrical mean reversion Catering theory Momentum threshold autoregression model Return on equity

MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS,
Yerkin Kitapbayev and Tim Leung, in International Journal of Theoretical and Applied Finance (IJTAF) (2018)
Keywords: Spread trading, optimal stopping, mean reversion, free-boundary problem, local time

Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM,
Nathaniel Gbenro and Richard Kouamé Moussa, in JRFM (2019)
Keywords: stock market efficiency; mean reversion; half-life; asymmetry; rolling regression

Analytic Valuation Formula for American Strangle Option in the Mean-Reversion Environment,
Junkee Jeon and Geonwoo Kim, in Mathematics (2022)
Keywords: American strangle option; optimal boundary; mean-reversion; Mellin transform

Distributed mean reversion online portfolio strategy with stock network,
Yannan Zhong, Weijun Xu, Hongyi Li and Weiwei Zhong, in European Journal of Operational Research (2024)
Keywords: Portfolio optimization; Online portfolio; Stock network; Mean reversion; Distributed optimization;

The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets,
Mehdi Mili, in Research in International Business and Finance (2019)
Keywords: Sovereign credit default swap; Markov switching; Mean reversion;

Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM,
Nathaniel Gbenro and Richard Kouamé Moussa, from HAL (2019)
Keywords: rolling regression,asymmetry,mean reversion,half-life,stock market efficiency

Revisiting the mean reversion of inflation rates for 22 OECD countries,
Tsangyao Chang, Omid Ranjbar and D.P. Tang, in Economic Modelling (2013)
Keywords: Mean reversion; Inflation; OECD countries; Fourier stationary test;

The valuation of arithmetic Asian options with mean reversion and jump clustering,
Shiyu Song, in The North American Journal of Economics and Finance (2024)
Keywords: Asian option; Mean reversion; Jump clustering; Hawkes process;

Trading VIX futures under mean reversion with regime switching,
Jiao Li, in International Journal of Financial Engineering (IJFE) (2016)
Keywords: Optimal stopping, mean reversion, futures trading, regime switching, variational inequality

Simple approximations for option pricing under mean reversion and stochastic volatility,
Christian Hafner, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003)
Keywords: derivatives, energy markets, mean reversion, seasonality, spreadsheets, stochastic volatility

Simple approximations for option pricing under mean reversion and stochastic volatility,
Christian Hafner, in Computational Statistics (2003)
Keywords: Derivatives, stochastic volatility, mean reversion, seasonality, energy markets, spreadsheets,

Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation,
Eric Hillebrand, from University Library of Munich, Germany (2005)
Keywords: stock-market crash, mean reversion, stock return predictability, change-points

Asymmetric Mean Reversion in European Interest Rates: A Two-factor Model,
Gregory Koutmos and George Philippatos, in The European Journal of Finance (2007)
Keywords: Interest rates, asymmetric mean reversion, two-factor model,

Optimal Entry and Exit Decisions Under Uncertainty and the Impact of Mean Reversion,
Jostein Tvedt, in SN Operations Research Forum (2022)
Keywords: Stochastic processes, Mean reversion, Real options, Optimal switching

Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps,
Shing Fung Chung and Hoi Ying Wong, in Journal of Banking & Finance (2014)
Keywords: Asian options; Fourier transform; Mean reversion; Jump diffusion;

Housing market dynamics: Evidence of mean reversion and downward rigidity,
Andre Gao, Zhenguo Lin and Carrie Fangzhou Na, in Journal of Housing Economics (2009)
Keywords: Housing market dynamics Fundamental price Overvaluation Mean reversion

Combining mean reversion and momentum trading strategies in foreign exchange markets,
Alina F. Serban, in Journal of Banking & Finance (2010)
Keywords: Uncovered interest parity Mean reversion Momentum Foreign exchange Trading strategies

Nominal and real wages in the UK, 1750–2015: mean reversion, persistence and structural breaks,
Guglielmo Maria Caporale and Luis Gil-Alana, in SN Business & Economics (2023)
Keywords: Nominal and real wages, Mean reversion, Persistence, Fractional integration, Structural breaks

Stock Market Responses to COVID-19: Mean Reversion, Dependence and Persistence Behaviours,
Yener Coskun, Omokolade Akinsomi, Luis Gil-Alana and Olaoluwa Yaya, from University Library of Munich, Germany (2021)
Keywords: Coronavirus; stock markets; fractional integration; long memory; mean reversion

Stock Market Responses to COVID-19: The Behaviors of Mean Reversion, Dependence and Persistence,
Yener Coskun, Omokolade Akinsomi, Luis Gil-Alana and Olaoluwa Yaya, from University Library of Munich, Germany (2023)
Keywords: Coronavirus; stock markets; fractional integration; long memory; mean reversion.

Mean reversion in international stock markets: An empirical analysis of the 20th century,
Laura Spierdijk, Jacob Bikker and Pieter van den Hoek, in Journal of International Money and Finance (2012)
Keywords: Mean reversion; Stock prices; Panel unit root test; Market efficiency;

Analytical Tools: Arbitrage, mean reversion, risk arbitrage and the favorite-longshot bias,
William T. Ziemba and Leonard C. MacLean, from World Scientific Publishing Co. Pte. Ltd. (2018)
Keywords: NFL Players , Coaches, Strategies, Mean Reversion, Efficient Markets, Sports Enthusiasts,

A Portfolio Choice Model with Utility from Anticipation of Future Consumption and Stock Markets' Mean Reversion,
Shmuel Kandel and Arik Kuznitz, from C.E.P.R. Discussion Papers (2004)
Keywords: Consumption; Portfolio; Habit-formation; Mean reversion

Does survivorship bias really matter? An empirical investigation into its effects on the mean reversion of share returns on the JSE Securities Exchange (1984-2006),
Evan Gilbert and Dave Strugnell, from Stellenbosch University, Department of Economics (2008)
Keywords: Survivorship bias, mean reversion, P/E ratio

A portfolio choice model with utility from anticipation of future consumption and stock market mean reversion,
Arik Kuznitz, Shmuel Kandel and Vyacheslav Fos, in European Economic Review (2008)
Keywords: Portfolio choice problem Mean reversion Financial markets

Mean reversion in the current account of forty-eight african countries: Evidence from the Panel SURADF test,
Hsiao-Ping Chu, Tsangyao Chang, Hsu-Ling Chang, Chi-Wei Su and Young Yuan, in Physica A: Statistical Mechanics and its Applications (2007)
Keywords: Mean reversion; Current account; Panel SURADF test;

Mean reversion in stock market prices: New evidence based on bull and bear markets,
Juncal Cuñado, Luis Gil-Alana and Fernando Perez de Gracia, in Research in International Business and Finance (2010)
Keywords: Mean reversion Bull market Bear market

Fast mean-reversion asymptotics for large portfolios of stochastic volatility models,
Ben Hambly and Nikolaos Kolliopoulos, in Finance and Stochastics (2020)
Keywords: Large portfolio, Stochastic volatility, Distance to default, Systemic risk, Mean-field, SPDE, Fast mean-reversion, Large time-scale

Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion,
Alexander Michaelides, from Society for Computational Economics (2001)
Keywords: Portfolio Choice, Liquidity Constraints, Buffer Stock Saving, Stock Market Mean Reversion, Stock Market Predictability

Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion,
Alexander Michaelides, from C.E.P.R. Discussion Papers (2001)
Keywords: Buffer stock saving; Liquidity constraints; Portfolio choice; Stock market mean reversion; Stock market predictability

Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the EMS,
Lars Svensson, from C.E.P.R. Discussion Papers (1991)
Keywords: EMS; Exchange Rate; Mean Reversion; Realignment; Target Zone; Unit Root Devaluation

TRANSACTION COSTS AND NONLINEAR MEAN REVERSION IN THE EU EMISSION TRADING SCHEME,
Jeonghyun Kim and Byeongseon Seo, in Hitotsubashi Journal of Economics (2015)
Keywords: EU ETS, market efficiency, nonlinear mean reversion, price discovery, threshold cointegration, transaction costs

Variance swap with mean reversion, multifactor stochastic volatility and jumps,
Chi Seng Pun, Shing Fung Chung and Hoi Ying Wong, in European Journal of Operational Research (2015)
Keywords: Pricing; Variance swap; Multi-factor stochastic volatility; Mean reversion; Jump diffusion;

Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization,
Douglas Eduardo Turattia, Fernando Henrique P.S. Mendes and João Frois Caldeira, in Finance Research Letters (2020)
Keywords: Autoregression tests; Mean reversion in Bitcoin market; Markov-switching models; Gibbs-sampling-augmented randomization;

A regime-switching model of stock returns with momentum and mean reversion,
Javier Giner and Valeriy Zakamulin, in Economic Modelling (2023)
Keywords: Time-series momentum; Mean reversion; Bull and bear markets; Duration dependence; Semi-Markov model; Return autocorrelation function;

Pricing European continuous-installment currency options with mean-reversion,
Junkee Jeon and Geonwoo Kim, in The North American Journal of Economics and Finance (2022)
Keywords: Currency option; Installment option; Mean-reversion; Optimal stopping problem; Free boundary; Mellin transform;

Irreversible investment with Cox-Ingersoll-Ross type mean reversion,
Christian-Oliver Ewald and Wen-Kai Wang, in Mathematical Social Sciences (2010)
Keywords: Irreversible investment Real options Models of mean reversion Optimal control Cox-Ingersoll-Ross process Foreign direct investment

Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility,
Klaus Mayer, Thomas Schmid and Florian Weber, from Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS) (2011)
Keywords: Electricity, Energy markets, Lévy processes, Mean-reversion, Spikes, Stochastic volatility, GARCH

Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values,
Min Hwang and John Quigley, from Berkeley Program on Housing and Urban Policy (2003)
Keywords: house price index, selectivity, mean reversion, hybrid model, Social and Behavioral Sciences

An empirical analysis of mean reversion of the S&P 500’s P/E ratios,
Ralf Becker, Junsoo Lee and Benton Gup, in Journal of Economics and Finance (2012)
Keywords: P/E Ratios, S&P Ratios, Mean Reversion, Nonlinear Unit Root Tests, G14, C4,

Asymmetric mean reversion and volatility in African real exchange rates,
Saint Kuttu, in Journal of Economics and Finance (2018)
Keywords: Real exchange rates, Asymmetric mean reversion, Two-factor model, GJR-GARCH

Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield,
Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian and Sébastien McMahon, from GREEN (2008)
Keywords: Heavy tails, oil price, convenience yield, oil forecasts, mean reversion, structural stability

ASSESSING THE MEAN REVERSION BEHAVIOR OF FISCAL POLICY: THE CASE OF ASIAN COUNTRIES,
Evan Lau and Ahmad Zubaidi Baharumshah, from University Library of Munich, Germany (2005)
Keywords: fiscal policy, mean reversion, sustainability, government intertemporal budget constraint, unit root tests, Asian

Mean Reversion Level Extensions of Time-Homogeneous Affine Term Structure Models,
Oh Kang Kwon, in Applied Mathematical Finance (2007)
Keywords: Affine term structure model, mean reversion level, initial forward rate curve, time-inhomogeous extension,

OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT,
Tim Leung and Xin Li, in International Journal of Theoretical and Applied Finance (IJTAF) (2015)
Keywords: Optimal double stopping, mean reversion trading, Ornstein–Uhlenbeck process, stop-loss

CPI INFLATION IN AFRICA: FRACTIONAL PERSISTENCE, MEAN REVERSION AND NONLINEARITY,
Olaoluwa Yaya, Akintande O. J., Ahamuefula Ogbonna and Adegoke H. M., in Statistics in Transition New Series (2019)
Keywords: Africa, Fractional Integration, Inflation Rate, Mean Reversion, Nonlinear Trend, Structural Break

Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion,
Jiamwen Xu and Pierre Perron, from Boston University - Department of Economics (2013)
Keywords: structural change, time varying probability, mean reversion, forecast- ing, long-memory.

A Proposal to Make the Float Factor of the Mexican Stock Market Index more Efficient: A Mean Reversion Model for Relative Flotation,
Salvador Cruz-Ake, Reyna Susana García Ruiz and Francisco Venegas-Martínez, in Economía Mexicana NUEVA ÉPOCA (2013)
Keywords: capital markets, stock market indices, models with mean reversion.

Comparison of extended mean-reversion and time series models for electricity spot price simulation considering negative prices,
Dogan Keles, Massimo Genoese, Dominik Möst and Wolf Fichtner, in Energy Economics (2012)
Keywords: Electricity prices; Time-series models; Mean-reversion process; Negative prices;

Mean reversion in Asia-Pacific stock prices: New evidence from quantile unit root tests,
Gilbert Nartea, Harold Glenn Valera and Maria Luisa G. Valera, in International Review of Economics & Finance (2021)
Keywords: Stock prices; Mean reversion; Quantile unit root regression;

FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility,
Yinhui Zhong, Qunfang Bao and Shenghong Li, in Applied Mathematics and Computation (2015)
Keywords: FX options; Mean reversion; Jump; Stochastic volatility; Attari formula;

The impact of mean reversion model on portfolio investment strategies: Empirical evidence from emerging markets,
Yasemin Deniz Akarim and Serafettin Sevim, in Economic Modelling (2013)
Keywords: Mean reversion; Emerging markets; Portfolio strategies; Panel data analysis;

Could the Stock Market Adjust Itself? An Empirical Study Based on Mean Reversion Theory,
Li Shuangjie, Hu Xuefeng and Wang Liming, in Journal of Systems Science and Information (2020)
Keywords: stock market, mean reversion, valuation ratio, adjustment mechanism, trend forecast

Mean Reversion in Asia-Pacific Stock Prices: New Evidence from Quantile Unit Root Tests,
Gilbert Nartea, Harold Glenn Valera and Maria Luisa G. Valera, from University of Canterbury, Department of Economics and Finance (2019)
Keywords: Stock prices, Mean reversion, Quantile unit root regression

Revisiting Mean Reversion in the Stock Prices of Nine Transition Countries: Threshold Unit Root Test,
Guochen Pan, Seng-Sung Chen and Tsangyao Chang, in Journal for Economic Forecasting (2012)
Keywords: Mean Reversion; Stock Prices; Transition Countries; Threshold Unit Test