Sentence examples for mean reversion process from inspiring English sources

The tendency of mean reversion process depends on the value of λ.

Some behaviors of economic variables may be described by mean-reversion process.

So, the future prices of RSS3 follow a slow mean-reversion process.

(8) Obviously, the properties (i - iii) are fulfi - iiiue to the raree ofulfilledof the hyperbolic tangent function andueean reversion of toe process.

In particular there is no room for modeling drifts with or without mean reversion as the price process has no purely deterministic time component.

"Mean reversion and momentum in the process" section reports on the structure of momentum and mean reversion for the process in aggregate, combining the drift and the martingale components.

AFTER the wild swings of last year and early 2009, many markets have been returning to more typical ranges in a process of "mean reversion," said Timothy W. Hayes, chief investment strategist at Ned Davis Research in Venice, Fla.

The non-linear feature of our model is reflected by three regimes, one of which is characterized by a unit root process and the random walk hypothesis while the lower and upper regimes are well captured by a stationary autoregressive process with mean reversion and predictability.

Questions about the presence of local mean reversion or momentum in price processes are then to be addressed and answered by modeling and estimating arrival rate functions.

This is because that, for a large value of κ, the correlation tends rapidly to the mean reversion value μ of the SCP process.

However, the graphs of simulation with Ornstein-Uhlenbeck process show that the mean reversion is faster than the empirical graphs above.