Modeling Momentum and Reversals
نویسندگان
چکیده
Stock prices are well known to exhibit behaviors that difficult model mathematically. Individual stocks observed short term price reversals and long momentum, while their industries only momentum. Here we show individual can be modeled by simple mean reverting processes in such a way these captured, the is arbitrage free, market informational efficiency preserved. Simulation shows market, when reversion sufficiently high, strategies which use would substantially outperform buy hold strategies.
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ژورنال
عنوان ژورنال: Risks
سال: 2022
ISSN: ['2227-9091']
DOI: https://doi.org/10.3390/risks10100190