How can you incorporate volume and open interest data into mean reversion analysis?

Feb 21, 2012 ... The underlying motivation is to bet on the consistency of positive lagged cross-correlation and negative autocorrelation. It exploits the ... Mar 10, 2025 ... This article helps you build, analyze, and trade mean-reversion strategies across different agriculture, energy, and metal commodity markets. Mean reversion is a theory based on the belief that prices and other metrics tend to fluctuate around their long-term mean or average value. In other words, ... Equity indices exhibit mean reversion in daily returns. A simple and powerful way to capture this effect is the Internal Bar Strength technical indicator, which ... Nov 12, 2024 ... It would be wrong to characterise that crash as a “mean reversion event”. It implies that constants exist in finance as they were once deemed to ... Oct 2, 2017 ... Although there is statistical evidence that the CAPE is indeed mean-reverting, this process isn't as strong as it can appear from the chart above. Aug 31, 2016 ... This unstated belief that things revert back to the way they used to be is both deeply set, and at the heart of much of value investing. Dec 20, 2022 ... 2023: Galactic Mean Reversion to stay, but better opportunities ahead · Income/duration sensitive fixed income replacement/complement: · Equity ... Mean reversion is, in essence, a market timing strategy. In particular, mean reversion traders target extreme price variations that they expect to revert to ... This article proposes a novel online portfolio selection strategy named Confidence Weighted Mean Reversion (CWMR).