• Title of article

    A new definition for time-dependent price mean reversion in commodity markets

  • Author/Authors

    Kocagil، Ahmet E. نويسنده , , Swanson، Norman R. نويسنده , , Zeng، Tian نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2001
  • Pages
    -8
  • From page
    9
  • To page
    0
  • Abstract
    In this note we propose a time-dependent definition of mean reversion, and empirically compare our definition with two former definitions. We show that the incidence of mean reversion is approximately 30¯40% less under the new and more robust definition.
  • Keywords
    Strategic market game , Buy or Sell , Buy and sell
  • Journal title
    Economics Letters
  • Serial Year
    2001
  • Journal title
    Economics Letters
  • Record number

    21662

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=21662