𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Nonlinear mean reversion in stock prices

✍ Scribed by Turan G. Bali; K. Ozgur Demirtas; Haim Levy

Book ID
116615041
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
260 KB
Volume
32
Category
Article
ISSN
0378-4266

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Mean reversion in stock index futures ma
Mean reversion in stock index futures markets: A nonlinear analysis
✍ Michael Monoyios; Lucio Sarno πŸ“‚ Article πŸ“… 2002 πŸ› John Wiley and Sons 🌐 English βš– 204 KB

## Abstract Several stylized theoretical models of futures basis behavior under nonzero transactions costs predict nonlinear mean reversion of the futures basis towards its equilibrium value. Nonlinearly mean‐reverting models are employed to characterize the basis of the S&P 500 and the FTSE 100 in