Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Mean Reversion In Stock Prices full books in PDF, epub, and Kindle. Read online Mean Reversion In Stock Prices ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Myung-Jig Kim
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.3/5 ( download)
Download or read book Mean Reversion in Stock Prices? written by Myung-Jig Kim and published by . This book was released on 1988 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tim Leung (Professor of industrial engineering)
Publisher : World Scientific
ISBN 13 : 9814725927
Total Pages : 221 pages
Book Rating : 4.8/5 (147 download)
Download or read book Optimal Mean Reversion Trading written by Tim Leung (Professor of industrial engineering) and published by World Scientific. This book was released on 2015-11-26 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives. This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature. This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments."--
Author : James M. Poterba
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (168 download)
Download or read book Mean Reversion in Stock Prices written by James M. Poterba and published by . This book was released on 1987 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gregory R. Duffee
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (237 download)
Download or read book A New test for mean reversion in stock prices written by Gregory R. Duffee and published by . This book was released on 1991 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeffrey Michael Gropp
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Mean reversion in United States stock prices written by Jeffrey Michael Gropp and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mean Reversion in Stock Prices: Evidence and Implications written by and published by . This book was released on 1989 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mean Reversion in Stock Prices? written by and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mean Reversion in U.S. Stock Prices written by and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Laura Spierdijk
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (839 download)
Download or read book Mean Reversion in Stock Prices written by Laura Spierdijk and published by . This book was released on 2012 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Boon Kiat Chua
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (969 download)
Download or read book Empirical Study on Mean Reversion of Stock Prices in the Context of Market Efficiency written by Boon Kiat Chua and published by . This book was released on 1996 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yiwen Wu
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (772 download)
Download or read book Mean Reversion in the Stock Prices for U.S. and China written by Yiwen Wu and published by . This book was released on 2011 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Myung Jig Kim
Publisher :
ISBN 13 :
Total Pages : 166 pages
Book Rating : 4.:/5 (29 download)
Download or read book Mean-reversion and Long-memory in Stock Prices? written by Myung Jig Kim and published by . This book was released on 1989 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Myung Jig Kim
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)
Download or read book Mean Reversion in Stock Prices? a Reappraisal of the Empirical Evidence written by Myung Jig Kim and published by . This book was released on 2010 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent research based on variance ratios and multiperiod-return autocorrelations concludes that the stock market exhibits mean reversion in the sense that a return in excess of the average tends to be followed by partially offsetting returns in the opposite direction. Dividing history into pre-1926, 1926-46, and post-1946 subperiods, we find that the mean-reversion phenomenon is a feature of the 1926-46 period, but not of the post-1946 period which instead exhibits persistence of returns. Evidence for pre-1926 data is mixed. The statistical significance of test statistics is assessed by estimating their distribution using stratified randomization. Autocorrelations of multiperiod returns imply a forecast of future returns, which is presented for post-war three-year returns using 1926-46, full sample, and sequentially updated coefficient estimates. The correlation between actual and forecasted returns is negative in each case. We conclude that evidence of mean reversion in U.S. stock returns is substantially weaker than reported in the recent literature. If mean-reversion continues to be a feature of the stock market, then the experience of the past forty years has been an aberration.
Author : Guglielmo Maria Caporale
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (248 download)
Download or read book Fractional Integration and Mean Reversion in Stock Prices written by Guglielmo Maria Caporale and published by . This book was released on 2000 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alan J. Marcus
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 ( download)
Download or read book An Equilibrium Theory of Excess Volatility and Mean Reversion in Stock Prices written by Alan J. Marcus and published by . This book was released on 1989 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Turan G. Bali
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book Testing Mean Reversion in Stock Market Volatility written by Turan G. Bali and published by . This book was released on 2012 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a comprehensive study of continuous time GARCH modeling with the thin-tailed normal and the fat-tailed Student-t and generalized error distributions. The paper measures the degree of mean reversion in stock return volatility based on the relationship between discrete time GARCH and continuous time diffusion models. The convergence results based on the aforementioned distribution functions are shown to have similar implications for testing mean reversion in stochastic volatility. Alternative models are compared in terms of their ability to capture mean-reverting behavior of stock return volatility. The empirical evidence obtained from several stock market indices indicates that the conditional variance, log-variance, and standard deviation of stock market returns are pulled back to some long-run average level over time.
Author : Michael Dueker
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (36 download)
Download or read book Mean Reversion in Stock Market Volatility written by Michael Dueker and published by . This book was released on 1994 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
