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Tuesday, 17 December 2013

How to Quanitify Mean Reversion and Momentum?

An unsorted risk of mean reversion / momentum indicators...
  • Persistence of Regimes as Measured by Regime Transition Probabilities - mean reversion: prob(current state prevails) < prob(different state in next period), momentum: prob(current state prevails) > prob(different state in next period). See Samuleson(1991).
  • Hurst Coefficient - <more details will follow at a later point>
  • ...
Please contact us if you know additional measures which are not on this list.

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