Sentences with phrase «data for a mean reversion»

If I use 2002 to 2006 as my OOS sample data for a mean reversion test, is that cheating?

Not exact matches

Looking at this data, at least, the evidence seems strong that a high CAPE today goes with lower stock returns in future periods, with the mean reversion becoming stronger for longer time periods.

For us though, based on over two decades of data, the sweet spot for mean reversion equity trading tends to be 3 - 7 daFor us though, based on over two decades of data, the sweet spot for mean reversion equity trading tends to be 3 - 7 dafor mean reversion equity trading tends to be 3 - 7 days.

Are you stating that the data generating process governing the instrumental record must exhibit mean - reversion (i.e. a necessary condition for stationarity)?