How does mean reversion play out in the cryptocurrency market? What are some common mistakes made when implementing mean reversion strategies?

Reversion to the Mean. Reversion to the mean, also called regression to the mean, is the statistical phenomenon stating that the greater the deviation of a ... Jan 18, 2020 ... Research by Burach Lev and Anup Srivastava implies that mean reversion may have slowed down, and for certain categories of firm may have become much less ... Nov 1, 1988 ... We examine this finding with a series of Monte Carlo simulations in order to demonstrate that it is consistent with an equilibrium model of asset pricing. Feb 21, 2012 ... The underlying motivation is to bet on the consistency of positive lagged cross-correlation and negative autocorrelation. It exploits the ... Nov 21, 2024 ... The stimulus measures already appear to be having one positive side effect: valuations in most Asian equity markets have shifted into healthier territory. Apr 14, 2023 ... What is mean reversion trading? Mean reversion is a theory in trading that suggests a market's price will always revert to the long-running ... Abstract. Previous time-series studies have shown evidence of mean-reversion in real exchange rates. Deviations from purchasing power parity (PPP) appear to ... Jan 6, 2023 ... The existence of a stationary component in stock prices implies that stock returns should revert to their mean returns in the long run. In this ... The distinction between the theoretical concept of mean reversion, denoted in the paper by γ and its estimator, Bγ, is now made clear. Some important ... 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 ...