I am new to mean reversion trading, and I would like to get some good references about how to estimate the time it takes to a mean reverting process to cross its long term mean.


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Well, "mean reversion trading" could mean a lot of things, I am not qualified to describe it in full generality.

However, there is a simple model of mean reversion called the Ornstein Uhlenbeck process that is often seen. It has two parameters $\lambda$ and $\sigma$, where $\lambda$ is the strength of the mean reversion (so one over $\lambda$ is the mean reversion time).

Here is a nice web site that covers the estimation of OU process parameters from time series data using two methods: least squares (most intuitive) and max likelihood (more exact).


Hope this helps.


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