All Questions
Tagged with mean-reversion stochastic-processes
5
questions with no upvoted or accepted answers
6
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How to trade the Ornstein-Uhlenbeck process?
My question comes from this paper, which is a short version of Avellaneda's paper The picture bellow provides a summary of the equations.
Do I understand correctly that in order to trade OU process I ...
- 366
4
votes
1
answer
767
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What is a stochastic processes which reasonably captures commodity price dynamics?
What stochastic processes (and corresponding probability distributions) empirically capture spot/forward commodity prices and forward term structures?
Background
I want to use discounted cash flow ...
- 3,015
3
votes
3
answers
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How to incorporate momentum in Ornstein Uhlenbeck to capture overshooting in financial markets?
In modelling asset prices, it is a good idea to model it using a fair value or target price concept. Recently Carr & Prado explored this idea to find optimal stop loss/take profit levels when the ...
- 31
1
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Stochastic process with determinstic frequency of regime changes
Suppose that I have an OU process. For instance, assume that I want to model the interest rates. Suppose that regime change is known ex ante, and is deterministic in terms of frequency (For instance, ...
- 1,426
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Exact value of mean reversion rate knowing terminal value of the process
Let you have the following mean reverting process:
$\text{d}x_{t}=a(\theta-x_{t})\text{d}t$,
where the diffusion term is absent, that is this process is not stochastic.
Let you know the value of $\...
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