A strategy based on mean reverting property of markets and applications to foreign exchange trading with trailing stops
Sign Up to like & getrecommendations! Published in 2017 at "Applied Stochastic Models in Business and Industry"
DOI: 10.1002/asmb.2229
Abstract: We propose a strategy for automated trading, outline theoretical justification of the profitability of this strategy, and overview the backtesting results in application to foreign currencies trading. The proposed methodology relies on the assumption that… read more here.
Keywords: reverting property; strategy based; exchange; strategy ... See more keywords
Static Hedges of Barrier Options Under Fast Mean-Reverting Stochastic Volatility
Sign Up to like & getrecommendations! Published in 2019 at "Computational Economics"
DOI: 10.1007/s10614-019-09883-1
Abstract: In this paper, we suggest a numerically stable method for static hedging of barrier options under fast mean-reverting stochastic volatility with transaction costs. We elucidate how perturbation theory converts static hedging on time–volatility grid into… read more here.
Keywords: reverting stochastic; mean reverting; volatility; options fast ... See more keywords
Estimation and testing in generalized mean-reverting processes with change-point
Sign Up to like & getrecommendations! Published in 2018 at "Statistical Inference for Stochastic Processes"
DOI: 10.1007/s11203-016-9151-3
Abstract: In this paper, we study an inference problem in generalized Ornstein–Uhlenbeck processes with an unknown change-point when the drift parameter is suspected to satisfy a linear restriction. The testing problem studied generalizes a very recent… read more here.
Keywords: change point; generalized mean; testing generalized; estimation testing ... See more keywords
Government connections and the persistence of profitability: Evidence from Chinese listed firms
Sign Up to like & getrecommendations! Published in 2018 at "Emerging Markets Review"
DOI: 10.1016/j.ememar.2018.04.002
Abstract: Abstract We find that state owned enterprises (SOEs hereafter) have lower (higher) mean-reverting rates when profitability is better (worse) than the norm; while non-SOEs with politically connected executives have lower (higher) mean-reverting rates when profitability… read more here.
Keywords: reverting rates; government connections; profitability; connections persistence ... See more keywords
On the persistence of prices in Mexico: a fractional integration approach
Sign Up to like & getrecommendations! Published in 2017 at "Applied Economics"
DOI: 10.1080/00036846.2017.1371841
Abstract: ABSTRACT A relevant yet often overlooked characteristic of the inflation rate is its mean-reverting property. If a series has this feature, shocks eventually dissipate, whereas if it does not, they have a permanent effect on… read more here.
Keywords: fractional integration; series; persistence; inflation ... See more keywords
Pricing options on mean reverting underliers
Sign Up to like & getrecommendations! Published in 2017 at "Quantitative Finance"
DOI: 10.1080/14697688.2016.1219764
Abstract: For mean reverting base probabilities, option pricing models are developed, using an explicit measure change induced by the selection of a terminal time and a terminal random variable. The models employed are the square root… read more here.
Keywords: jpm; options ratio; pricing options; reverting underliers ... See more keywords
Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
Sign Up to like & getrecommendations! Published in 2018 at "Quantitative Finance"
DOI: 10.1080/14697688.2017.1417624
Abstract: This paper develops a pairs trading framework based on a mean-reverting jump–diffusion model and applies it to minute-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables… read more here.
Keywords: pairs trading; jump diffusion; trading; reverting jump ... See more keywords
A doubly robust estimator for the average treatment effect in the context of a mean‐reverting measurement error
Sign Up to like & getrecommendations! Published in 2017 at "Biostatistics"
DOI: 10.1093/biostatistics/kxw046
Abstract: &NA; One of the main limitations of causal inference methods is that they rely on the assumption that all variables are measured without error. A popular approach for handling measurement error is simulation‐extrapolation (SIMEX). However,… read more here.
Keywords: reverting measurement; error; treatment; context mean ... See more keywords
Unit Root Testing in the Presence of Mean Reverting Jumps: Evidence from US T-Bond Yields
Sign Up to like & getrecommendations! Published in 2019 at "International Journal of Nonlinear Sciences and Numerical Simulation"
DOI: 10.1515/ijnsns-2018-0012
Abstract: Abstract Mean reversion of financial data, especially interest rates is often tested by linear unit root tests. However, there are times where linear unit root test results can be misleading especially when mean reverting jump… read more here.
Keywords: unit; unit root; test; root testing ... See more keywords
When the disposition effect proves to be rational: Experimental evidence from professional traders
Sign Up to like & getrecommendations! Published in 2023 at "Frontiers in Psychology"
DOI: 10.3389/fpsyg.2023.1091922
Abstract: The disposition effect is a behavioural finance anomaly that has been observed in many populations including non-professional investors as well as professional investors and has been linked to reduced trading performance. However, the majority of… read more here.
Keywords: non mean; effect; reverting securities; disposition effect ... See more keywords
Optimal Strategy of the Dynamic Mean-Variance Problem for Pairs Trading under a Fast Mean-Reverting Stochastic Volatility Model
Sign Up to like & getrecommendations! Published in 2023 at "Mathematics"
DOI: 10.3390/math11092191
Abstract: We discuss the dynamic mean-variance (MV) problem for pairs trading with the assumptions that one of the security prices satisfies a stochastic volatility model (SVM) and the corresponding price spread follows an Ornstein–Uhlenbeck (OU) process.… read more here.
Keywords: optimal strategy; volatility; model; volatility model ... See more keywords