Sentence examples for mean reversion level from inspiring English sources

where L ( t, λ, μ, β ) is a time-dependent mean reversion level with three parameters.

This figure shows a plot of the mean reversion level θ under the Hull-White model.

Using the parameters κ=0.2, r=0.05, θ=0.05 and σ=0.2, a plot of the mean reversion level θ(t) is shown in Figure 1.

Our final example concerns the fitting of the Hull-White model to an initial term structure using the time-dependent mean reversion level θ(t) shown in Figure 1.

This allows an analytical expression for the mean reversion level θ(t) which for the Hull-White model is given by θ ( t ) = ∂f ∂t ( 0, t ) + κf ( 0, t ) + σ 2 2 κ 1 − e − 2 κt, Open image in new window.

Open image in new window Figure 1 Plot of the calibrated mean-reversion level θ(t) under Hull-White model.

Vasicek [1] proposed the following classical Vasicek model which is defined by an equation of the form mathrm{d}r_{t}=alpha (beta -r_{t}),mathrm{d}t+sigma, mathrm{d}B_{t}, (1.1) where α is the rate of mean reversion, β is the long-run level, σ is the volatility coefficient, and (B_{t}) is a standard Brownian motion.

Our analysis also shows how the speed of mean reversion of market liquidity, by affecting the level and the volatility of the overnight market rate, also affects the anchoring of the yield curve in the euro area.

Some degree of mean reversion is a safe expectation.

Thirty patients (52.6%) had arrhythmia reversed with oral medication, with mean reversion Δ t of 5.7 hours.

For mean reversion and momentum up and down the structure of M and G responses to the level of the process may be accordingly adjusted.