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Optimal Mean Reversion Trading
5 个回复 - 1641 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 - 8760 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 - 746 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 - 722 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 - 699 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 - 545 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 - 695 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 - 541 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 - 8390 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

求助On the simulation and estimation of the mean-reverting Ornstein-uhlenbeck pr
2 个回复 - 702 次查看【作者(必填)】Smith W 【文题(必填)】On the simulation and estimation of the mean-reverting Ornstein-uhlenbeck process 【年份(必填)】2010 【全文链接或数据库名称(选填)】 Commodities Markets and ...2017-9-12 16:51 - 地下爆菊 - 求助成功区

59、【backtrader股票策略】多资产的配对交易策略(mean reversion - single cluster)
1 个回复 - 1310 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 - 467 次查看创业板指数和综指，期待mean reversion2020-2-21 16:28 - zhxfish - Forum

Optimal impulse control of a mean-reverting inventory with quadratic costs
0 个回复 - 444 次查看【作者(必填)】【文题(必填)】Optimal impulse control of a mean-reverting inventory with quadratic costs 【年份(必填)】【全文链接或数据库名称(选填)】http://aimsciences.org/article/noLoginPage ...2019-6-23 16:19 - ssylzz - 文献求助专区

The Revenue Assignment Problem: Ends, Means, and Constraints
2 个回复 - 704 次查看【作者(必填)】McLure, Charles E., 【文题(必填)】The Revenue Assignment Problem: Ends, Means, and Constraints 【年份(必填)】1998 【全文链接或数据库名称(选填)】2014-4-1 11:36 - 泛舟珊瑚海 - 求助成功区

Double barrier option under regime-switching exponential mean-reverting process
2 个回复 - 730 次查看【作者(必填)】P. Eloea, R. H. Liua* & J. Y. Suna 【文题(必填)】Double barrier option under regime-switching exponential mean-reverting process 【年份(必填)】2009 【全文链接或数据库名称(选填)】h ...2016-4-6 12:29 - hnu123 - 求助成功区

Mean-reversion and optimization
2 个回复 - 1057 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

Trend Following & Mean Reverting Indicators
2 个回复 - 1349 次查看 Use the following types of indicators: Oscillators [*]Mean-Reverting Indicators [*]Overbought/Oversold Indicators [*]Sentiment2016-12-8 06:03 - ytw1018 - 量化投资

Culture in School Learning Revealing the Deep Meaning Second Edition
1 个回复 - 889 次查看 Culture in School Learning Revealing the Deep Meaning Second Edition Foreword xi Herbert Kohl Preface xiii Acknowledgments xix 1 The Centrality of Culture and Social Ideology in School Learn ...2016-11-29 11:34 - 飞天玄舞6 - 真实世界经济学(含财经时事)

Trading a mean-reverting asset: Buy low and sell high
1 个回复 - 896 次查看【作者(必填)】Hanqin Zhanga, , Qing Zhangb, 【文题(必填)】Trading a mean-reverting asset: Buy low and sell high 【年份(必填)】2008 【全文链接或数据库名称(选填)】http://www.sciencedirect.com/sc ...2016-8-5 08:16 - yangnay - 求助成功区

Mean Reversion in Commodity Prices
5 个回复 - 1338 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 - 984 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 - 854 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 - 602 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

[QUANT] GBM+GARCH+Jump Diffusion+VG+Mean Reverting+Vasicek+Expo-Vasicek+CIR
13 个回复 - 4018 次查看本帖最后由 wanghaidong918 于 2013-1-13 02:09 编辑发一个top paper 先看目录 Contents Introduction Basic Stochastic Processes: GBM GARCH Models Jump Diffusion Models Variance Gamma proces ...2012-12-25 18:06 - jesaisrien - 金融学（理论版）

求助：mean reversion
3 个回复 - 11753 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 - 2759 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

A REVISED GEOMETRY OF MEAN-VARIANCE EFFICIENT PORTFOLIOS
1 个回复 - 747 次查看【作者(必填)】 [*]Hans G. Ehrbar 【文题(必填)】A REVISED GEOMETRY OF MEAN-VARIANCE EFFICIENT PORTFOLIOS 【年份(必填)】 1993 【全文链接或数据库名称(选填)】http://onlinelibrary.wiley.com/doi/1 ...2015-4-28 20:55 - wenyu - 求助成功区

Classical mean-variance model revisited: pseudo efficiency
1 个回复 - 712 次查看【作者(必填)】 [*]Xiangyu Cui, [*]Li Duan [*]& Jiaan Yan 【文题(必填)】Classical mean-variance model revisited: pseudo efficiency 【年份(必填)】 2014 【全文链接或数据库名称(选填)】http://www. ...2015-4-28 17:29 - wenyu - 求助成功区

mean-reverting model相关问题
0 个回复 - 687 次查看 mean-reverting model 的volatility 能否找到于时间对应的函数。2015-3-20 09:35 - 2426802026 - 金融学（理论版）

正式版FX options pricing in logarithmic mean-reversion jump-diffusion mod
1 个回复 - 1100 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

Supply chain risk analysis with mean-variance models: a technical review
1 个回复 - 811 次查看【作者(必填)】Chun-Hung Chiu, Tsan-Ming Choi 【文题(必填)】Supply chain risk analysis with mean-variance models: a technical review 【年份(必填)】2013 【全文链接或数据库名称(选填)】http://l ...2014-11-1 11:21 - dz1 - 求助成功区

求助下载A Multivariate Regime-Switching Mean Reverting Process and Its Applicati
1 个回复 - 1068 次查看【作者(必填)】 Yinghui Dongab*, Kam C. Yuenc & Chongfeng Wu 【文题(必填)】 A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk 【年份(必填) ...2014-7-23 17:02 - hnu123 - 文献求助专区

Administrative accountability: a review of the evolution, meaning and operatio
4 个回复 - 903 次查看【作者(必填)】 LV Carino 【文题(必填)】 Administrative accountability: a review of the evolution, meaning and operationalization of a key concept in public administration 【年份(必填)】 1983 ...2014-1-1 22:24 - mengchuanjin - 文献求助专区

Testing for mean reversion in heteroskedastic
0 个回复 - 1330 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 - 1287 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 - 1521 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 - 967 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

2003-布鲁金斯研究所的报告--What the IT Revolution Means for Regional Economic Development
0 个回复 - 1884 次查看 2003-布鲁金斯研究所的报告--What the IT Revolution Means for Regional Economic Development 62页,pdf2006-11-19 02:00 - Liweimin - 宏观经济学

10币求testing mean reversion in heteroskedastic data ...
6 个回复 - 1148 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 - 2106 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）

跪求文献：Contingent claims evaluation for mean reverting cash flows in shipping
1 个回复 - 2287 次查看跪求文献：Contingent claims evaluation for mean reverting cash flows in shipping，作者：Bjecrsund, Petter ＆ Steinar Ekern（1995）我在google搜到的是这本书（Real options in capital investment: models ...2010-6-14 20:00 - sunbao2009 - 文献求助专区

Pricing of Derivatives on Mean-Reverting Assets（springer link 下载的2010最新）
3 个回复 - 1696 次查看 Pricing of Derivatives on Mean-Reverting Assets Pricing of Derivatives on Mean-Reverting Assets2010-4-11 09:03 - feijian0000 - 金融工程（数量金融）与金融衍生品

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 - 1782 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

Pricing of Derivatives on Mean-Reverting Assets
0 个回复 - 2600 次查看 Björn Lutz, "Pricing of Derivatives on Mean-Reverting Assets" Springer | 2009 | ISBN: 3642029086 | 137 pages | PDF | 1 MB The topic of this book is the development of pricing formulae ...2010-1-7 17:12 - zhaohailei - 金融学（理论版）

Pricing of Derivatives on Mean-Reverting Assets
2 个回复 - 1378 次查看坛子里还没有呢 The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives. For this class o ...2010-1-2 15:22 - yyykkk - 金融学（理论版）

[求助]请教：mean statioanrity 和mean reverting
1 个回复 - 3621 次查看 mean statioanrity 和mean reverting分别是什么意思，他们之间有什么关系？请明白人指点一二！2008-2-12 14:36 - luyunhang - 计量经济学与统计软件

London Calling: Nonlinear Mean Reversion across National Stock Markets
0 个回复 - 282 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 - 203 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 - 433 次查看 2004-12-24 18:49 - 经济数据804 - Forum

Data revisions and the statistical relation of global mean sea-level and te...
0 个回复 - 192 次查看 2004-11-30 09:10 - 年度财务报告898 - Forum

Data revisions and the statistical relation of global mean sea-level and te...
0 个回复 - 598 次查看 2004-11-30 02:26 - 社会网络分析424 - Forum

Mean Reversion in US and International Short Rates
0 个回复 - 236 次查看 2004-9-21 17:07 - 幼儿教育论文634 - Forum

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