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Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
0 个回复 - 266 次查看 This paper develops a pairs trading framework based on a mean-reverting jump-diffusionmodel and applies it to minute-by-minute data of the S&P 500 oil companies from 1998to 2015. The established stati ...2023-7-12 09:47 - LIG_z - 现金交易版

股价均值回归研究 - 经典paper - MEAN REVERSION IN STOCK PRICES:
0 个回复 - 363 次查看 MEAN REVERSION IN STOCK PRICES: EVIDENCE AND IMPLICATIONS James M. Poterba Lawrence H. Summers2024-1-7 10:49 - 745954790 - 行为经济学与实验经济学

Optimal Mean Reversion Trading
5 个回复 - 1683 次查看找到一个非扫描版的你说惊奇不？2021-7-23 13:07 - liucg9999 - 量化投资

【华尔街系列】Optimal Mean Reversion Trading
135 个回复 - 9117 次查看如果喜欢，就请“加关注”我吧（点击头像下方，http://bbs.pinggu.org/z_guanzhu.php?action=add&fuid=452766）。关注成功后，查看这里即可：三步走，把千本好书“一网打尽”！。欢迎订阅wwqqer文库！欢迎订阅 ...2016-11-7 05:08 - wwqqer - 金融学（理论版）

求助JPM的一篇论文 Modelling the Shiller CAPE Ratio, Mean Reversion, and Retu
2 个回复 - 817 次查看【作者(必填)】Otto Waser 【文题(必填)】Modelling the Shiller CAPE Ratio, Mean Reversion, and Return Forecasts 【年份(必填)】DOI: https://doi.org/10.3905/jpm.2021.1.210 【全文链接或数据库名称 ...2021-8-14 21:28 - tu2094 - 文献求助专区

Optimal Mean Reversion Trading, latex版
0 个回复 - 769 次查看 [2016]Optimal Mean Reversion Trading_Mathematical Analysis and Practical Applications-Tim Siu Leung, Xin Li 非常不错的书对 OU / XOU/ CIR 等经典的 pair trading model 给出了 optimal strategy 而且解 ...2021-8-1 16:10 - yzhaobk - 新手入门区

Mean Reversion of Abnormal Stock Returns
1 个回复 - 715 次查看【作者(必填)】Sandip Mukherji 【文题(必填)】Mean Reversion of Abnormal Stock Returns 【年份(必填)】The Journal of Wealth Management Spring 2012, 14 (4) 122-129 【全文链接或数据库名称(选填)】h ...2019-8-9 01:12 - wangzt - 求助成功区

Mean reversion in stock prices: Evidence and Implications
1 个回复 - 550 次查看【作者(必填)】 James M.Poterba[/backcolor]Lawrence H.Summers[/backcolor] 【文题(必填)】 Mean reversion in stock prices: Evidence and Implications【年份(必填)】 Journal of Financial Economics ...2019-4-3 01:31 - leosong - 求助成功区

Mean reversion of inflation rates in seven Eastern European countries
1 个回复 - 702 次查看【作者(必填)】Deng-Kui Si and Xiao-Lin Li 【文题(必填)】Mean reversion of inflation rates in seven Eastern European countries:An application of a fourier quantile unit root test 【年份(必填)】20 ...2018-8-23 16:45 - hkswen - 求助成功区

Mean reversion in per capita GDP of Asian countries
1 个回复 - 551 次查看【作者(必填)】Tiwari,A.K. and Suresh,K.G. 【文题(必填)】Mean reversion in per capita GDP of Asian countries: Evidence from a nonlinear panel unit root test 【年份(必填)】2014 【全文链接或数据 ...2018-6-30 06:31 - hkswen - 求助成功区

求书: Mean Reversion Trading Systems by Dr Howard B Bandy
11 个回复 - 8426 次查看 Mean Reversion Trading Systems Perfect Paperback – January 15, 2013 by Dr Howard B Bandy (Author) Practical and fully disclosed methods for swing trading: Trading frequently and holding a few da ...2015-2-22 11:49 - redlamp - 悬赏大厅

59、【backtrader股票策略】多资产的配对交易策略(mean reversion - single cluster)
1 个回复 - 1338 次查看这个策略的思路来自于《151 trading strategies》，本文主要分为四个部分：策略逻辑描述、策略代码、策略绩效、策略简单分析策略逻辑说明常见的配对交易策略往往是两个资产的配对交易，涉及到多个资产的配对交易 ...2021-4-28 22:03 - tianjixuetu - 量化投资

【学习笔记】创业板指数和综指，期待mean reversion
1 个回复 - 475 次查看创业板指数和综指，期待mean reversion2020-2-21 16:28 - zhxfish - Forum

Mean-reversion and optimization
2 个回复 - 1065 次查看【作者(必填)】Zura Kakushadze 【文题(必填)】Mean-reversion and optimization 【年份(必填)】2016 【全文链接或数据库名称(选填)】https://link.springer.com/article/10.1057/jam.2014.372017-2-28 21:21 - MemMao - 求助成功区

Mean Reversion in Commodity Prices
5 个回复 - 1357 次查看 Please kindly let me know if you have this one, thx! 【作者(必填)】Dr. Björn Lutz 【文题(必填)】Mean Reversion in Commodity Prices http://link.springer.com/chapter/10.1007%2F978-3-642-02 ...2014-7-2 05:23 - QuantQ - 求助成功区

求Drift estimation for a periodic mean reversion process,
2 个回复 - 990 次查看【作者(必填)】Herold Dehling, Brice Franke, Thomas Kott 【文题(必填)】Drift estimation for a periodic mean reversion process, 【年份(必填)】2010 Statistical Inference for Stochastic Processes, 1 ...2016-6-16 14:48 - 地下爆菊 - 求助成功区

求Change point testing for the drift parameters of a periodic mean reversion pro
1 个回复 - 863 次查看【作者(必填)】Herold Dehling, Brice Franke, Thomas Kott, Reg Kulperger 【文题(必填)】Change point testing for the drift parameters of a periodic mean reversion process, 【年份(必填)】2014 【全 ...2016-6-16 14:44 - 地下爆菊 - 求助成功区

Mean reversion or a breath of fresh air?
1 个回复 - 613 次查看【作者(必填)】M. A. Roach 【文题(必填)】Mean reversion or a breath of fresh air? The effect of NFL coaching changes on team performance in the salary cap era 【年份(必填)】2013 【全文链接或数据 ...2016-4-26 13:02 - dliangfranklin - 求助成功区

求助：mean reversion
3 个回复 - 11783 次查看请问大家为什么利率和implied volatility会出现mean reversion的现象，而汇率不会呢？有什么理论解释吗？？谢谢！！！2006-11-20 21:12 - carol715 - 金融学（理论版）

Mean Reversion Trading Systems Perfect Paperback
2 个回复 - 2782 次查看 Mean Reversion Trading Systems Perfect Paperback – January 15, 2013 by Dr Howard B Bandy (Author) Practical and fully disclosed methods for swing trading: Trading frequently and holding a few da ...2015-5-2 09:04 - redlamp - 爱问频道

正式版FX options pricing in logarithmic mean-reversion jump-diffusion mod
1 个回复 - 1114 次查看【作者(必填)】【文题(必填)】FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility ☆ 【年份(必填)】【全文链接或数据库名称(选填)】http://www.scienced ...2015-1-6 05:21 - ssylzz - 文献求助专区

Testing for mean reversion in heteroskedastic
0 个回复 - 1362 次查看是之前传的文章的前传，之前传的是II，这个是I。2013-4-9 22:12 - chongchong719 - Gauss专版

Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augme
0 个回复 - 1317 次查看 Kim 的文章。2013-4-9 19:27 - chongchong719 - Gauss专版

Momentum and Mean Reversion in Strategic Asset Allocation
3 个回复 - 1529 次查看【作者(必填)】Ralph S. J. Koijen, Juan Carlos Rodríguez and Alessandro Sbuelz 【文题(必填)】Momentum and Mean Reversion in Strategic Asset Allocation 【年份(必填)】2009 【全文链接或数据库名称(选填 ...2012-12-8 19:16 - wenyu - 求助成功区

Mean Reversion in Stock Prices: Evidence and Implications
2 个回复 - 977 次查看【作者(必填)】 Poterba, J.M. A Summers, L.H. 【文题(必填)】 Mean Reversion in Stock Prices: Evidence and Implications 【年份(必填)】 1988 【全文链接或数据库名称(选填)】 Journal of Financial E ...2012-4-2 22:38 - sqq19860225 - 求助成功区

10币求testing mean reversion in heteroskedastic data ...
6 个回复 - 1162 次查看求论文“testing mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization” 注意不是这篇Testing for Mean Reversion in Heteroskedastic Data II: Autoregression Tests. Based ...2011-8-3 14:33 - sjm1972 - 文献求助专区

摩根斯坦利研究报告：2010: Meaningful Mean Reversion（英文）
4 个回复 - 2138 次查看摩根斯坦利研究报告：2010: Meaningful Mean Reversion（英文）2010-1-18 10:46 - rongzx - 金融学（理论版）

Heckman procedure与mean reversion在古扎拉蒂第四版的哪个部分第几页？
0 个回复 - 1795 次查看有谁知道Heckman procedure与mean reversion的内容在古扎拉蒂第四版的哪个部分第几页？时间紧张，自己无法去细查了，哪位朋友有印象的答复一下，多谢！2010-3-5 11:02 - 无尘第二 - SPSS论坛

London Calling: Nonlinear Mean Reversion across National Stock Markets
0 个回复 - 289 次查看 2004-12-28 09:28 - 资产剥离062 - Forum

London Calling: Nonlinear Mean Reversion across National Stock Markets-伦敦呼叫...
0 个回复 - 210 次查看 2004-12-24 21:48 - 发展是硬道理652 - Forum

London Calling: Nonlinear Mean Reversion across National Stock Markets
0 个回复 - 441 次查看 2004-12-24 18:49 - 经济数据804 - Forum

Mean Reversion in US and International Short Rates
0 个回复 - 248 次查看 2004-9-21 17:07 - 幼儿教育论文634 - Forum

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