搜索结果: 1-3 共查到“经济学 Mean-reversion”相关记录3条 . 查询时间(0.046 秒)
Study on Stock Index Futures’ Mean Reversion Effect and Arbitrage in China Based on High-Frequency Data
CSI 300 Index Future High-Frequency Data Futures-Spot Arbitrage Mean Reversion Effect Mispricing Ratio
2013/2/23
Based on 1 minute high frequency data, this paper constructs no-arbitrage band for CSI300 index futures, and empirically studies the futures-spot arbitrage. Furthermore, the mean reversion and its tim...
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...