The mean tag has no wiki summary.
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Mean-variance minimizser
I am working on a project that involves pricing european call options in incomplete markets. Now I need to find a unique measure $Q^*$ such that
$$Q^* = \min_{M_e} E_Q [V(T)-F(w)]^2 = \min_{u} E_Q ...
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R code for Ornstein-Uhlenbeck process
Can any one help me with some R code to run Ornstein-Uhlenbeck process?
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1answer
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Mean Reversion Time Frame
I am running a mean reversion strategy. I have question with regards to half-life; I have heard of OU process to determine the high life but it's not giving me the kind of result.
Can any one ...
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2answers
1k views
Mean reverting Indicator
I'm looking for an indicator which tells me if it's a good time to use mean reverting type quantitative trading strategies.
In order to do so I look at the market (the few hundred stocks I trade) and ...
