The mean-reversion tag has no wiki summary.
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Exact value of mean reversion rate knowing terminal value of the process
Let you have the following mean reverting process:
$\text{d}x_{t}=a(\theta-x_{t})\text{d}t$,
where the diffusion term is absent, that is this process is not stochastic.
Let you know the value of ...
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0answers
95 views
Basic Trading Strategies based on mean-reversion / momentum [closed]
Can anyone give me some basic trading strategies which based on the theory of mean-reversion (like the bollinger band strategy)? Also, is there any basic trading strategy based on momentum trading? ...
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122 views
Mean Reverting Spread
I have constructed a mean reverting spread using two indexes. I know they have to be mean reverting, but when plotted side by side they are mean reverting for a little bit and then deviate and head ...
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2answers
229 views
Statistical significance of a pair trading strategy
How can I test the significance of a pair trading strategy, i.e. that the H0 is "The strategy has no predicting power".
I was considering to use the technique in Evidence Based Technical Analysis ...
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4answers
496 views
Threshold calculation for buying a mean-reverting asset
I am trying to figure-out an optimal policy for buying a unit when its price follows a mean-reverting price process (Ornstein–Uhlenbeck), when I have a finite time deadline for buying the unit.
I ...
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1answer
357 views
Does mean reverting imply mean stationary?
If I have a time series that exhibits mean reverting properties, does it necessarily mean that the time series is mean stationary?
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2answers
1k views
How to build a mean reverting basket?
I have been playing with mean reverting pairs, but seems that most of the low hanging fruit (ie pairs) have been squeezed already. I would like to start with mean reverting baskets (>2 securities) in ...
3
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2answers
321 views
Entry and exit points for very short mean-reverting timeseries
I have a model specifying a cointegration relationship on a number of transaction-level timeseries.
I would like to specify entry and exit points for trades where these points ideally would be just ...
5
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2answers
686 views
How are momentum and reversion long/short strategies dynamically combined in trading?
I'm trying to understand how to combine two strategies dynamically in trading: one mean-reversion and the other momentum.
One way (also the simplest one) of doing this is by scaling/normalizing ...
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1answer
359 views
Two prices pass the cointegration test but there is a trend. How to check stationarity?
Below is a spread built with two ETFs that pass the cointegration test i.e. Adjusted Dickey Fuller, adfTest(type="nc") in R's fUnitRoots with a p-value < 0.01.
The red line is the trendline.
What ...
1
vote
1answer
589 views
How is mean reversion implied by different valuations of Bermudan swaptions?
Someone told me that mean reversion can be implied by the different valuations of bermudan swaptions when using different methods for volatility calibration. Does anyone know what this means?
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3answers
1k views
R code for Ornstein-Uhlenbeck process
Can any one help me with some R code to run Ornstein-Uhlenbeck process?
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2answers
1k views
Is there a standard method for quantifying mean-reversion for use in directional trading?
Assuming a directional strategy (no pairs or spread trades) is there a "standard" method for quantifying mean-reversion? Should auto-correlation, variance ratios, hurst exponent, or some other measure ...
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2answers
1k views
Categories of systematic trading strategies?
What are the main categories of systematic trading strategies (e.g. momentum, mean reversion), as might be considered by an index or fund-of-fund analyst?
Are there any common sub-strategies?
