Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 56 for “"Mean reversion"”.
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Mean reversion in macroeconomic and financial data
This dissertation focuses on the mean reversion in macroeconomic and financial data using nonparametric estimation method. The first essay studies the recent attempts to solve the second form of the Purchasing Power Parity (PPP) puzzle (usually expressed as a half-life of 3∼5 years), mostly by …
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MEAN REVERSION MODELING WITH APPLICATION IN ENERGY MARKETS
… in energy prices is that they tend to exhibit mean-reversion behavior. This thesis proposes two new models on mean-reversion patterns of energy assets: Time-invariant Wavelet-Schwartz Model and Time-Varying State Space Model. The first model is capable of describing stationary time series with …
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Mean reversion in asset prices and asset allocation in investment management
… an Australian investor. Evidence supporting the mean reversion alternative to the random walk hypothesis is presented, with a discussion of potential models, both linear and nonlinear. The normality and homoscedasticity assumptions are investigated and their use in asset models is validated. A …
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Highly efficient pricing of exotic derivatives under mean-reversion, jumps and stochastic volatility
… limited to, utilising jump-diffusion models with mean-reversion, stochastic volatility, and/or stochastic jump intensity. More pertinently, these inclusions allow the resulting asset price process to capture the various empirical features, such as heavy tails and asymmetry, commonly observed in …
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A unified approach to testing for mean reversion of exchange rates and prices: The OECD and Latin American cases
… It develops a unified approach to test for mean reversion of exchange rates and prices, bringing together the disequilibrium view and the long-run real exchange rate literatures in such a way that not only exchange rates and relative prices are considered, but also the role played by real …
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Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE
The objective of the discussions and tests presented in this dissertation is to test the JSE as an efficient market. The statistical tests will be undertaken with the aim of observing trends in returns to investments on the JSE, whilst investment strategies that are based on assumptions contrary to …
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Effects of mean-reversion on the valuation of undeveloped oil reserves and the results of the optimal investment rules
Thesis (B.S.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1993.
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Variation in the Dynamic Response of Housing Markets
… evaluate the degrees of serial correlation and mean reversion existing in the sampled geographic areas. Serial correlation and mean reversion are then interacted with the hypothesized effects of information costs, supply costs, and expectations of future price behavior to uncover variation in …
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Uusing the KDJ as a trading strategy on biotech companies
Mean Reversion is the most commonly used model in quantitative trading. This model is associated with several factors, like ma5 and ma10 line. These factors are the most significant in stock markets. However, the disadvantages of this model are lag and inaccuracy. In this research, we get the …
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Time diversification and holding periods on the Johannesburg Stock Exchange
… on the JSE Focusing on the Random Walk and Mean Reversion Models, a variety of tests were employed to identify serial correlation within the JSE logarithmic total returns. By assessing the possibility of mean reversion or trending behavior in returns, this study aims to determine if …
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An investigation of empirical properties of South African bonds
… 2000 to 2016. In particular, it investigates i) mean reversion in bond returns; ii) the correlation between bond returns and the inflation rate; and, iii) the correlation between bond returns and equity returns. An understanding of bond return dynamics would allow bond investors to assess which …
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Modelling energy markets and pricing energy derivatives
… facts in the spot price behaviour, namely mean reversion and jumps. For the first time in the literature we test a jump diffusion model, and a mean reversion jump diffusion model against our broad data set and compare the findings to the Black's Geometric Brownian Motion specifications. In …
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Long term portfolio construction
… the long horizon and that stock returns exhibit mean reversion overtime. The purpose of this dissertation is to find the optimal asset allocation over various investment horizons; and investigate how the optimal asset allocation changes over the long investment horizon. The study uses data from …
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Three essays on stock returns predictability and trading strategies to exploit it
… The objectives of this research are: 1) to model mean reversion in developed stock markets and re-assess the mixed empirical findings to date; 2) to characterize the returns generating process in emerging capital markets and examine the predictive ability and profitability of technical trading …
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An Investigation of Overreaction via Implied Volatility and a Comparison between Tracking Stocks and Carve-Outs as a Restructuring Choice
… from option prices. Applying Stein's (1989) mean reversion model and Heynen, Kemna, and Vorst's (1994) GARCH and EGARCH methods, I compare the theoretical and empirical measures of reaction of longterm options in respect to short-term options for the growth and the value portfolios, which are …
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Short-term return reversion on the JSE
This study explores the existence of mean reversion in returns on the Johannesburg Stock Exchange (JSE). Finding that most research on the JSE applies to the long term, this paper investigates mean reversion across relatively shorter periods. Thus investment horizons between 1 and 30 days are …
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Monetary policy in low income countries: the case of Uganda
… persistence in LICs. The results suggest mean-reversion for the whole sample, however, there is evidence of asymmetric mean-reversion within specific quantiles. In addition, it is noted that the level of persistence increased after 2006 and during the inflation-targeting period. The study …
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South African house-price dynamics
… also revealed that property prices exhibit mean reversion in the long run, although adjustment to long-run equilibrium (governed by economic growth, real mortgage rates and sovereign risk) is slow.
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Correlation emergence in two coupled limit order books in the fluid limit
… coupled by a pairs trader profiting from the mean-reversion between the two order-books in the fluid limit for a Lit order book with vanishing boundary conditions and order volume conservation we are able to demonstrate the recovery of an Epps effect. We show how various stylised facts depend …
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Dynamics of corporate profitability: A study of the UK market (1981-2000)
… if corporate profitability follows a random or mean reverting process. The secondary objective concerns the measurement of the mean reverting process. Empirical analysis utilises cross sectional, time series and panel data analysis to uncover the dynamics of corporate earnings and profitability. …
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