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A mean-reverting financial instrument is optimally traded by buying it when it is sufficiently below the estimated `mean level' and selling it when it is above. In the presence of linear transaction c...
Nonlinear Mean Reversion in Stock Prices
Fundamental value mean reversion present value model STAR model
2010/9/7
In this paper we investigate mean reversion dynamics in the deviation of the yearly S&P 500 index from its fundamental value. We consider different versions of the present value model with constant an...