How can traders avoid overconfidence in their mean reversion strategies?

Oct 8, 2024 ... Mean reversion suggests that after an extreme price move, asset prices tend to return to normal or average levels. In other words, prices that ... Dec 17, 2017 ... This kind of strategy heavily relies on the belief of mean-reversion of idiosyncratic returns or residuals, reverting to a long-term mean within ... We find NAV spreads for companies trading at a high discount to mean revert fastest. Remarkably, we also provide evidence that online search attention impacts ... Feb 3, 2017 ... Mean reversion models have been developed to capture the historical data rather than to reflect critical aspects of financial and economic ... Simulating Electricity Prices with Mean-Reversion and Jump-Diffusion ... This example shows how to simulate electricity prices using a mean-reverting model with ... Feb 21, 2012 ... The underlying motivation is to bet on the consistency of positive lagged cross-correlation and negative autocorrelation. It exploits the ... Jul 29, 2018 ... Mean reversion is probably one of the most misunderstood concepts in all of finance. On the one hand, it's misunderstood by performance chasers. This article proposes a novel online portfolio selection strategy named Confidence Weighted Mean Reversion (CWMR). Nov 13, 2020 ... Nevertheless, we do not observe a significant change in the degree of persistence across subsamples and once more mean reversion is found if ... The author provides an economic model that explains more than 90% of the CAPE ratio's variability. A link between the economy and CAPE is useful in investment ...