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  2. Mean reversion (finance) - Wikipedia

    en.wikipedia.org/wiki/Mean_reversion_(finance)

    Mean reversion is a financial term for the assumption that an asset's price will tend to converge to the average price over time. [1] [2]Using mean reversion as a timing strategy involves both the identification of the trading range for a security and the computation of the average price using quantitative methods.

  3. Vasicek model - Wikipedia

    en.wikipedia.org/wiki/Vasicek_model

    Vasicek's model was the first one to capture mean reversion, an essential characteristic of the interest rate that sets it apart from other financial prices. Thus, as opposed to stock prices for instance, interest rates cannot rise indefinitely. This is because at very high levels they would hamper economic activity, prompting a decrease in ...

  4. Regression toward the mean - Wikipedia

    en.wikipedia.org/wiki/Regression_toward_the_mean

    Galton's experimental setup "Standard eugenics scheme of descent" – early application of Galton's insight [1]. In statistics, regression toward the mean (also called regression to the mean, reversion to the mean, and reversion to mediocrity) is the phenomenon where if one sample of a random variable is extreme, the next sampling of the same random variable is likely to be closer to its mean.

  5. Understanding Reversion to the Mean - AOL

    www.aol.com/news/understanding-reversion-mean...

    Continue reading → The post Understanding Reversion to the Mean appeared first on SmartAsset Blog. Will housing prices naturally come back down, and the price of blockchain tokens stabilize?

  6. Cox–Ingersoll–Ross model - Wikipedia

    en.wikipedia.org/wiki/Cox–Ingersoll–Ross_model

    The parameter corresponds to the speed of adjustment to the mean , and to volatility. The drift factor, a ( b − r t ) {\displaystyle a(b-r_{t})} , is exactly the same as in the Vasicek model. It ensures mean reversion of the interest rate towards the long run value b {\displaystyle b} , with speed of adjustment governed by the strictly ...

  7. Ornstein–Uhlenbeck process - Wikipedia

    en.wikipedia.org/wiki/Ornstein–Uhlenbeck_process

    Simplified formula for the Ornstein–Uhlenbeck process from the mural shown below. Dutch artist collective De Strakke Hand: Leonard Ornstein mural, showing Ornstein as a cofounder of the Dutch Physical Society (Netherlands Physical Society) at his desk in 1921, and illustrating twice the random walk of a drunkard with a simplified formula for the Ornstein–Uhlenbeck process.

  8. Statistical arbitrage - Wikipedia

    en.wikipedia.org/wiki/Statistical_arbitrage

    The details of the scoring formula vary and are highly proprietary, but, generally (as in pairs trading), they involve a short term mean reversion principle so that, e.g., stocks that have done unusually well in the past week receive low scores and stocks that have underperformed receive high scores. [4]

  9. Mean reversion - Wikipedia

    en.wikipedia.org/wiki/Mean_reversion

    Mean reversion may refer to: Regression toward the mean; Ornstein–Uhlenbeck process; Mean reversion (finance) This page was last edited on 29 ...