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mean reversion

Overview page. Subjects: Economics.

Observed behaviour by which a random process, such as characterizes financial market prices or rates, tends to revert to its mean or average value over time. Mean reversion appears to ...

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See overview in Oxford Index

mean reversion

Overview page. Subjects: Economics.

Observed behaviour by which a random process, such as characterizes financial market prices or rates, tends to revert to its mean or average value over time. Mean reversion appears to ...

null...

See overview in Oxford Index

Price Mean Reversion, Seasonality, and Options Markets

Chad E. Hart, Sergio H. Lence, Dermot J. Hayes and Na Jin.

in American Journal of Agricultural Economics

April 2016; p ublished online August 2015 .

Journal Article. Subjects: Economics; Agricultural Economics. 11477 words.

Options on agricultural commodities with maturities exceeding one year seldom trade. One possible reason to explain this lack of trading is that we do not have an accurate option pricing...

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mean reversion

John Black, Nigar Hashimzade and Gareth Myles.

in A Dictionary of Economics

January 2017; p ublished online January 2017 .

Reference Entry. Subjects: Economics. 97 words.

The tendency for a variable to revert towards its *mean over time or in repeated measurements. Many physical and

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mean reversion

Edited by John Black, Nigar Hashimzade and Gareth Myles.

in A Dictionary of Economics

January 2012; p ublished online May 2013 .

Reference Entry. Subjects: Economics. 66 words.

The tendency for a variable to revert back toward its *mean over time. Many physical and economic variables are mean-reverting. Examples include height (the children of tall parents tend to...

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mean reversion

Peter Moles and Nicholas Terry.

in The Handbook of International Financial Terms

January 1997; p ublished online January 2005 .

Reference Entry. Subjects: Financial Institutions and Services. 117 words.

Observed behaviour by which a random process, such as characterizes financial market prices or rates, tends to revert to its

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Monte Carlo Analysis of Mean Reversion in Commodity Futures Prices

Scott H. Irwin, Carl R. Zulauf and Thomas E. Jackson.

in American Journal of Agricultural Economics

May 1996; p ublished online May 1996 .

Journal Article. Subjects: Economics; Agricultural Economics. 0 words.

This study examines whether mean reversion is present in corn, soybean, wheat, live hog, and live cattle futures prices. Consistent with earlier studies, asymptotic regression results...

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Nonlinear Mean Reversion in the Short-Term Interest Rate

Christopher S. Jones.

in The Review of Financial Studies

July 2003; p ublished online June 2015 .

Journal Article. Subjects: Financial Markets. 19785 words.

Using a new Bayesian method for the analysis of diffusion processes, this article finds that the nonlinear drift in interest rates found in a number of previous studies can be confirmed...

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Bubble Troubles? Rational Storage, Mean Reversion, and Runs in Commodity Prices

Eugenio S. A. Bobenrieth, Juan R. A. Bobenrieth and Brian D. Wright.

in The Economics of Food Price Volatility

October 2014; p ublished online May 2015 .

Chapter. Subjects: Economic Development and Growth. 7744 words.

High and volatile prices of major commodities have generated a wide array of analyses and policy prescriptions, including influential studies identifying price bubbles in periods of high...

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reversion to the mean

Overview page. Subjects: Mathematics — Economics.

In a sequence of independent observations of a random variable, the greater the deviation from its mean of an observation, the greater the probability that the next observation will be...

See overview in Oxford Index

mean reversion investment theory

Overview page. Subjects: Economics.

A quantitative method of investing or portfolio management which involves buying those stocks which have shown statistical evidence of undershooting their intrinsic value. It is based on...

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reversion to the mean

Christopher Clapham and James Nicholson.

in The Concise Oxford Dictionary of Mathematics

January 2009; p ublished online January 2009 .

Reference Entry. Subjects: Pure Mathematics. 88 words.

In a sequence of independent observations of a *random variable, the greater the deviation from its *mean

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reversion to the mean

Christopher Clapham and James Nicholson.

in The Concise Oxford Dictionary of Mathematics

January 2014; p ublished online September 2014 .

Reference Entry. Subjects: Pure Mathematics. 90 words.

In a sequence of independent observations of a *random variable, the greater the deviation from its *mean of an observation, the greater the probability that the next observation will be...

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mean reversion investment theory

Peter Moles and Nicholas Terry.

in The Handbook of International Financial Terms

January 1997; p ublished online January 2005 .

Reference Entry. Subjects: Financial Institutions and Services. 56 words.

A quantitative method of investing or portfolio management which involves buying those stocks which have shown statistical evidence of undershooting

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reversion to the mean

Peter Moles and Nicholas Terry.

in The Handbook of International Financial Terms

January 1997; p ublished online January 2005 .

Reference Entry. Subjects: Financial Institutions and Services. 68 words.

An observed characteristic of some asset prices or rates to return to their long-term average. The implication is that there

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Random Walk and Mean-Reversion

Christian Gollier.

in Pricing the Planet's Future

November 2012; p ublished online October 2017 .

Chapter. Subjects: Economic Development and Growth. 4880 words.

This chapter illustrates that the shape of the term structure of discount rates is determined by the way the wealth effect and the precautionary effects evolve with the time horizon. When...

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U.S. Farm Prosperity: The New Normal or Reversion to the Mean

Michael D. Boehlje, Brent A. Gloy and Jason R. Henderson.

in American Journal of Agricultural Economics

January 2013; p ublished online May 2012 .

Journal Article. Subjects: Agricultural, Environmental, and Natural Resource Economics; Economic Development and Growth. 4414 words.

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Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

John Y. Campbell, João Cocco, Francisco Gomes, Pascal J. Maenhout and Luis M. Viceira.

in Review of Finance

December 2001; p ublished online December 2001 .

Journal Article. Subjects: Financial Law; Financial Institutions and Services; Financial Markets. 0 words.

This paper solves numerically the intertemporal consumption and portfolio choice problem of an infinitely-lived investor who faces a time-varying equity premium. The solutions we obtain are...

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Heath-Jarrow-Morton option-pricing model

Edited by Jonathan Law and John Smullen.

in A Dictionary of Finance and Banking

January 2008; p ublished online January 2008 .

Reference Entry. Subjects: Financial Institutions and Services. 24 words.

A binomial model for pricing bond options that is based on the mean reversion properties of interest rates. See binomial

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Heath–Jarrow–Morton option-pricing model

Jonathan Law.

in A Dictionary of Finance and Banking

March 2018; p ublished online March 2018 .

Reference Entry. Subjects: Banking. 26 words.

A binomial model for pricing bond options that is based on the mean reversion properties of interest rates. See binomial

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Heath–Jarrow–Morton option-pricing model

Edited by Jonathan Law.

in A Dictionary of Finance and Banking

January 2014; p ublished online May 2014 .

Reference Entry. Subjects: Financial Institutions and Services. 26 words.

A binomial model for pricing bond options that is based on the mean reversion properties of interest rates. See binomial

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