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Reversion trading
Is anyone aware of a method to compare the level of reversion in an asset to how much it trends? Also any good books or papers relating to reversion type trading would be appreciated. Thanks
Reversion trading
You've a times series you are not sure you should better model as a gbm or a vacisek process and you're asking whether it exists some tool to discriminate between time series? A dilemna à la H.Geman's 'Is Mean Reversion Dead'?
Reversion trading
Yes Thats my question, I guess no easy way to decide the best model to use
Reversion trading
My memory was jogged and I remembered this old paperon the Variance Ratio Test of Lo and MacKinlay 1988 link
Last edited by acastaldo on November 3rd, 2014, 11:00 pm, edited 1 time in total.