Mean Reversion

An Empirical Test on Mean Reversion in Shanghai and Shenzhen Stock Market

沪深股市均值回归的实证检验

A Summary of Studies on the Theory of Stock Price Mean Reversion and Its Quantitative Analysis Method

股票价格均值回归理论研究综述

Mean Reversion Behavior of the RMB Exchange Rate Metal Dynamic Recovery during Hot Deformation

人民币汇率均值回复性质的研究热变形中的动态回复过程

It is based on the noisy market hypothesis and price mean reversion .

其基础是噪声市场假说和价格回归价值。

Stock market returns , however , do tend to exhibit mean reversion .

但股票的回报率却呈现出均值回归的特性。

But mean reversion never anticipates anything out of the ordinary .

但均值回归永远无法预测超乎寻常的事情。

The authors test if the beta of Bank of ShenZhen development has mean reversion tendency .

本文的主要目的即以深发展为例，检验其贝塔系数是否遵循一个均值回归过程。

Furthermore , hyperbolic model characterize the mean reversion of interest rates better than AG model .

双曲模型在刻画利率的均值回复特征方面还克服了AG模型的不足。

We are growing at a rate that may not be sustainable if you believe in mean reversion .

如果你相信回归平均值（meanreversion），那么我们目前的上涨速度也需难以维系。

Under internal value chain guidance cost and expense analysis ; Consumption-utility based pricing of payments following mean reversion

内部价值链导向下的成本与费用分析均值回复收益的消费效用无差别定价

It also is shown that mean reversion and stochastic volatility can have a major impact on derivative prices .

结果表明，均值回复和随机波动率在衍生品定价中起重要影响。

Then , a long-term ship investment decision-making model was established with the maritime price obeying the mean reversion process .

接着建立了长期的、海运价格服从均值回归过程的船舶投资决策模型。

Differences on Value Appraisal Standards between Chinese and Western Traditional Law ; Consumption-utility based pricing of payments following mean reversion

中西传统法律价值评价标准的差异及启示均值回复收益的消费效用无差别定价

Expansion price level tend to be higher in the geometric Brownian motion model compared to the mean reversion model under the same conditions .

产品价格服从几何布朗运动模型的投产价格往往会高于相同条件下均值回归模型下的投产价格。

The Modern service industry clustering is dynamic , and changes in agglomeration are stemmed from a combination effect of mean reversion and randomness .

动态研究表明，现代服务业集聚是动态变化的，服务业集聚水平变化是回复效应和随机效应共同作用的叠加。

Mean reversion is a tendency for a stochastic process to remain near , or tend to return over time to a long-run average value .

均值回归是指随着时间的向前推进，一个随机过程向其均值靠近的趋势。

A subtle variant of the mean reversion case is put forward by Jeremy Grantham of the fund management group GMO .

原译：GMO基金管理公司的杰若米？兰森提出均值回归实例的一个微变量。

Interest rates exhibit complex stochastic behavior , is mean reversion and are not directly tradable , which means that the dynamic replication strategy is more complex .

利率具有复杂的随机行为，均值回复且不可直接交易，这意味着动态复制策略更复杂。

Consumption-utility based pricing of payments following mean reversion The recoverable amount is the higher of an asset 's net selling price and value in use .

均值回复收益的消费效用无差别定价可收回金额按净售价与使用价值两者较高确认。

If extrapolation is the forecaster 's friend , mean reversion is the forecaster 's crutch .

如果说外推法是预测家的朋友，那么均值回归理论（meanreversion）就是预测家的拐杖。

According to the Mean Reversion theory , in the long term , the yield rate of stock price appears to follow the rule of mean reversion and negative autocorrelation .

均值回归理论认为，从长期来看，股票收益率呈均值回归，即长期收益率呈负自相关。

Mean Reversion of Chinese Stock Market and Parametric Contrarian Investment Strategies & An Empirical Study on Shanghai Stock Market ; The Application of Multiple Hoteling T ~ 2 Test in Psychology

我国股市的均值回复性与参数价值反转投资策略&基于上海股票市场的经验分析多元总体均值差异显著性检验的研究

The results reveal that deviations from PPP is a nonlinear mean reversion , exponential smooth transition autoregression ( ESTAR ) model can describe this nonlinear nature .

结果表明偏离购买力平价呈非线性的均值回复，指数平滑转换自回归（ESTAR）模型描述了这种非线性特性。

Stock value is represented by stock price directly or indirectly . After market price deviates from its intrinsic value , it will follows a dynamic moving process , either bubble or mean reversion .

股票价值直接或间接表现为股票价格，股票市场价格偏离内在价值一般呈现两种动态演变过程，即价格泡沫和均值回复。

A : I like to get what I consider the central idea , which in the stock market is patience and value and mean reversion . And in society , it is resources and climate damage .

答：我想指出我觉得是最核心的关注点，在股市中那就是耐心、价值和均值回归，在社会范畴中则是资源和气候灾害。

Either way , there is the further question of whether markets have lost their capacity for mean reversion . It will take a while for the negative yield phenomenon to go away , but it will .

不管是哪一种情况，还有一个问题是：市场是否已丧失回归均值的能力？负收益率现象将需要一段时间才能消退，但它肯定会消退。

Law of mean reversion based on the relevant studies suggest that the volatility of stock prices is a regular , long-term in a non-equilibrium state of the stock often deviate from the intrinsic value of the stock .

均值回归规律为基础的相关研究认为，股票价格的波动是有规律的、长期处于冲击状态的、股票经常偏离股票内在价值的。

In sum , 2008 will be a year of mean reversion – we could see some 20 per cent upside in the first half of the year but a correction in the second half with the year ending largely flat .

总之，2008年将是回归均值的一年，今年上半年A股市场可能会上涨约20%，但下半年将出现回调，最终在年末大体与去年持平。

We first examined the mean reversion of convenience yield by regression analysis , the empirical results in line with our expectations , indicating there truly exist of mean reversion , it shows that spot market may also exist of mean reversion .

本文首先通过运用回归分析法检验了便利收益均值回复性，实证结果符合之前所提出的假设预期，说明便利收益确实存在均值回复性，这也表明市场上的现货价格可能存在均值回复性。

We also found that when the volatility was low , the interest rates showed mean reversion to the long-run mean , while the volatility was high , the GARCH ( 1,1 ) model with regime-switching showed no sign of mean reversion .

同时，在利率波动较小时其存在均值回复现象，而当利率波动较大时带有制度转换的GARCH（1,1）模型则显示不存在均值回复现象。