均值回归

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。

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

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。

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

我国股票市场收益率非对称均值回归特征的计量检验&基于ANST-GARCH模型的实证分析

Asymmetric Mean-reverting Pattern of Stock Returns in China : ANST-GARCH Approach

论文分析了基于元胞自动机的异质金融市场模型的随机性的来源、均值回归特性、金融泡沫的产生和破裂、模型的平稳性、模型与Ornstein-Uhlenbeck之间的关系、模型与GARCH模型族之间的关系。

The author analyzes the randomness sources , mean-reverting property , bubble happen and bust , and stationary of this model . The author analyzes the relationships between cellular automata based heterogeneous financial market model and the Ornstein-Uhlenbeck model and GARCH models .

但均值回归永远无法预测超乎寻常的事情。

But mean reversion never anticipates anything out of the ordinary .

上市公司盈利能力的均值回归性研究

Reversion of Stock Market ? Mean Regression of Corporate Earning Capacity

沪深股市均值回归的实证检验

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

实物期权价格服从均值回归的定价模型研究

Pricing Model of Real Option Subjecting to Mean Regression

我国封闭式基金折价率均值回归与投资策略分析

Mean-reversion Analysis of Closed-end Fund Discount and Investment Strategy

均值回归理论就是长期趋势可预测理论与方法的主要代表。

An Empirical Test of Mean-reversion Hypothesis of Short-term Interest Rate in China ;

但股票的回报率却呈现出均值回归的特性。

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

包括有效市场理论、均值回归理论、证券市场技术分析理论等的介绍。

Including the efficient market theory , mean-reversion theory , stock market technical analysis theory introduction .

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。

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

政府行为对股票的均值回归具有一定的影响。

The behavior of the government influences the average value return of the shares to some extent .

股票价格均值回归理论研究综述

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

股票价格服从几何布朗运动，而公司业绩服从由布朗运动驱动的均值回归过程。

The stock price follows a geometry Brownian motion , while the EPS is a mean reverting process .

但是，近年来均值回归理论对随机漫步理论提出了挑战。

But , in recent years , Average Value Return Theory gave a challenge to the Random Walk Theory .

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。

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

购买力平价假说之谜的实证表象是均值回归时间较长，致使购买力平价理论在短期内不成立。

The empirical data of PPP enigma are that time for mean conversion is long and PPP theory is untenable in short time .

成功的风险管理是在均值回归的哲学指导下通过资产配置的动态优化实现的。

Under the guidance of the philosophy of the mean-reversion , we are able to achieve risk management successfully through dynamic asset allocation .

有一个公式，适用于几乎所有的东西它被称为回归的意思，也均值回归。

There is a formula that applies to almost everything and it is called reversion to the mean , also regression to the mean .

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。

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

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。

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。

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 .

但是虽然有一些很好的理由，期望股票的价格收益比率，向长期均值回归，但却没有类似有说服力的理由，期望房价发生同样的变化。

But while there are some good reasons for expecting the price-earnings ratio of stocks to revert towards its long-term average , there are no similarly persuasive reasons for expecting the same of house prices .

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。

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 .

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。

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 .

由此本文试图由市场有效性理论、均值回归理论、技术分析理论等基础理论出发建立一套所有指标都被量化的跨商品套利模型，用于指导跨商品套利交易活动。

This article attempts to market the validity of this theory , mean-reversion theory , technical analysis theory to establish a basis for the theory of all the indicators have been quantified cross-commodity arbitrage model , used to guide the cross-commodity arbitrage trading activities .

通过理论分析和以图形、金融计量学为主要方法对海运价格进行实证分析的基础上得到以下结论；国际干散货航运市场均值回归与随机游走的时间界限为18个月。

Through the theoretical analysis and the empirical study , by means of graphics and financial econometrics on shipping prices , the dissertation got a conclusion that the time scale between mean regression and random walk on the international dry bulk shipping market was 18 months .

随着时间跨度的增长，海运价格增加符合均值回归的特点而随着时间跨度的减少，海运价格更加符合随机游走的特征。第三，建立了船舶投资决策的基本模型。

The increase of seaborne prices accorded with the return characteristics with the growth of time span while the price was more in line with the characteristics of random walk with the reduction of time span . Thirdly , the basic model of ship investment decisions was established .