meta user
network profile
| bio | website | people.clemson.edu/~campbwa |
|---|---|---|
| location | Clemson, SC | |
| age | 26 | |
| visits | member for | 7 months |
| seen | Apr 17 at 14:12 | |
| stats | profile views | 9 |
I'm finishing up a Ph.D. in Applied Economics and Statistics at Clemson University (May 2013 graduation). My primary skills are statistical modeling, programming, and computer science.
|
Apr 5 |
awarded | Scholar |
|
Apr 5 |
accepted | Using variance ratios to test for mean reversion |
|
Apr 5 |
comment |
Using variance ratios to test for mean reversion Ok, I'm satisfied now. Thanks! |
|
Apr 5 |
comment |
Using variance ratios to test for mean reversion In the abstract of the same paper: "It demonstrates that variance ratios are among the most powerful tests for detecting mean reversion in stock prices." |
|
Apr 5 |
comment |
Using variance ratios to test for mean reversion I tend to agree with you. However, I found the following quote: "The mean values of the individual firm variance ratios are shown in Table 5. They suggest some long-horizon mean reversion for individual stock prices." Page 19 of albany.edu/faculty/faugere/PhDcourse/meanreversion1.pdf I'm having trouble understanding why certain variance ratios would imply mean reversion. |
|
Apr 5 |
revised |
Using variance ratios to test for mean reversion edited title |
|
Apr 5 |
asked | Using variance ratios to test for mean reversion |
|
Apr 1 |
revised |
Does the geometric Ornstein-Uhlenbeck process have stationary variance? added 164 characters in body |
|
Apr 1 |
comment |
Does the geometric Ornstein-Uhlenbeck process have stationary variance? I agree, but everyone seems to call the process stationary, even using the geometric process. My main question is whether the variance term that I "made up" is an appropriate calculation. It fits the variance of a simulated series fairly closely. |
|
Apr 1 |
revised |
Does the geometric Ornstein-Uhlenbeck process have stationary variance? added 2 characters in body |
|
Apr 1 |
comment |
Does the geometric Ornstein-Uhlenbeck process have stationary variance? quant.stackexchange.com/a/4932/3043, It's a different simulation equation than I'm using, but it's the same stochastic process. |
|
Mar 31 |
awarded | Student |
|
Mar 31 |
awarded | Editor |
|
Mar 31 |
revised |
Does the geometric Ornstein-Uhlenbeck process have stationary variance? added 20 characters in body |
|
Mar 31 |
asked | Does the geometric Ornstein-Uhlenbeck process have stationary variance? |
|
Mar 31 |
answered | Threshold calculation for buying a mean-reverting asset |
|
Oct 3 |
awarded | Autobiographer |
|
Oct 3 |
awarded | Supporter |
