This paper analyzes the stochastic properties in clinical disorders to understand how they have manifested consumer sentiment USA since 1990. The results obtained via fractional integration methodologies exhibit a high degree of persistence, finding non-mean reversion behavior all time series analyzed, except for depressive disorder. Using causality test, we find that mental and substance use d...

The purpose of this paper is the comparative analysis of four natural gas storage valuation ap proaches. In competitive natural gas markets the optimal valuation and operation of natural gas stor ages is a key task for natural gas companies operating storages. Within this paper, four spot based valuation approaches are analyzed regarding computational time and accuracy. In particular, explicit ...

When the cell wall of Bacillus subtilis is removed by lysozyme and the resultant protoplasts are plated on hypertonic soft agar medium, each protoplast forms an L colony. L bodies from such L colonies again plate as L-colony-forming units (CFU). However, if protoplasts or L bodies are "conditioned" by 1 h of incubation in 0.4% casein hydrolysate medium and then incubated in 25% gelatin medium f...

Different tilings allow the checking of dynamic and distributional aspects risk estimations with regard to their subtle mean reversion effects

An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion and exhibits mean reversion. The stochastic volatility follows the jump-diffusion with mean reversion. We find a formulation for the European-style option in terms of characteristic functions.

Local Polynomial Estimation (LPE) is implemented on a dataset of high-frequency foreign exchange (FX) quotes. This nonparametric technique is meant to provide a exible background against which to evaluate parametric time series models. Assuming a conditionally heteroscedastic nonlinear autoregressive (CHARN) model, estimates of the mean and volatility functions are reported. The mean function d...

The power of mean reversion tests has long been a tacit issue of the market efficiency literature. Early tests of market efficiency, as summarized in Fama Ž . 1970 , found no economically significant evidence of serial correlation in stock Ž . returns. However, Summers 1986 later suggested that this was because these tests lacked power: Summers suggested a model of AfadsB in which stock prices ...

This research analyzes the dynamic properties of the difference equation that arises when markets exhibit serial correlation and mean reversion. We identify the correlation and reversion parameters for which prices will overshoot equilibrium (“cycles”) and/or diverge permanently from equilibrium. We then estimate the serial correlation and mean reversion coefficients from a large panel data set...

Online portfolio selection (OLPS) is a procedure for allocating assets using only past information to maximize an expected return. There have been successful mean reversion strategies that achieved large excess returns on the traditional OLPS benchmark datasets. We propose genetic strategy evolves population of vectors hybrid algorithm. Each vector represents proportion assets, and our chooses ...