Sentences with phrase «standard mean reversion»

It is standard mean reversion strategy.

This the standard mean reversion strategy.

Not exact matches

For more on standard deviation and mean reversion, I invite you to download my whitepaper, «Managing Expectations: Anticipate Before You Participate in the Market.»

Alpha is the drift term, that will help us calculate the mean reversion level, beta is the daily mean reversion speed, and epsilon is a standard normal disturbance term.

One last note: the standard deviation of the error term was 6.3383 %, which helps show that in the short run, the volatility of implied volatility is a larger effect than mean - reversion.

The standard approach to showing mean reversion is start with historical data and establish mean reversion with statistics.