Mean reversion


Mean reversion

Mean reversion may refer to:

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  • Mean Reversion — A theory suggesting that prices and returns eventually move back towards the mean or average. This mean or average can be the historical average of the price or return or another relevant average such as the growth in the economy or the average… …   Investment dictionary

  • mean reversion — The behavior of a variable in which the values for that variable move towards the long run average value for that variable. American Banker Glossary …   Financial and business terms

  • Mean reversion (finance) — For other uses, see Mean reversion (disambiguation). Mean reversion is a mathematical concept sometimes used for stock investing, but it can be applied to other assets. In general terms, the essence of the concept is the assumption that both a… …   Wikipedia

  • Mean-Reversion-Effekt — Der Begriff Mean Reversion (Mittelwertrückkehr) ist in der Kapitalmarkttheorie die Anwendung der Theorie der Regression zur Mitte in Bezug auf Marktpreis und Volatilitätsveränderungen. Gemeint ist die Theorie, dass Märkte zu Übertreibungen neigen …   Deutsch Wikipedia

  • DBLCI Mean Reversion (MR) Index — The DBLCI Mean Reversion Index is a commodity index published by the Deutsche Bank. Launched at the same time as the Deutsche Bank Liquid Commodity Index (DBLCI) in February 2003, the DBLCI Mean Reversion has the same underlying assets. The… …   Wikipedia

  • reversion — 1 return, recurrence, recrudescence (see under RETURN vb) 2 Reversion, atavism, throwback are comparable when they mean return to an ancestral type or an instance of such return. The same distinctions in implications and connotations are evident… …   New Dictionary of Synonyms

  • Regression toward the mean — In statistics, regression toward the mean (also known as regression to the mean) is the phenomenon that if a variable is extreme on its first measurement, it will tend to be closer to the average on a second measurement, and a fact that may… …   Wikipedia

  • OU-Prozess — Drei Pfade von unterschiedlichen Ornstein Uhlenbeck Prozessen mit σ=0.3, θ=1, μ=1.2: navy: Startwert a=0 (f. s.) olivgrün: Startwert a=2 (f. s.) rot: Startwert gezogen aus der stationären Vert …   Deutsch Wikipedia

  • Ornstein-Uhlenbeck-Prozess — Drei Pfade von unterschiedlichen Ornstein Uhlenbeck Prozessen mit σ=0.3, θ=1, μ=1.2: navy: Startwert a=0 (f. s.) olivgrün: Startwert a=2 (f. s.) rot: Startwert gezogen aus der stationären Verteilung des Prozesses. Der Ornstein Uhlenbeck …   Deutsch Wikipedia

  • Statistical arbitrage — In the world of finance and investments statistical arbitrage is used in two related but distinct ways:* In academic literature, statistical arbitrage is opposed to (deterministic) arbitrage. In deterministic arbitrage a sure profit can be… …   Wikipedia