Is mean reversion as prevalent in small-cap stocks as in large-cap stocks? What data sources are relevant for mean reversion analysis?

Mean reversion strategies involve attempts to generate a profit by trading on an asset as it returns closer to its average and away from an extreme. Traders use ... Aug 11, 2014 ... We discuss in detail how to do mean-reversion based on this approach, including common pitfalls encountered in practical applications, such as ... 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 ... Jun 13, 2022 ... What is mean reversion? Mean reversion theory suggests that considerable deviations in security prices tend to return to their historical mean. May 2, 2017 ... The vector ARMA can rarely catch both effect at the same time. For instance an AR(1) the simplest model is always a mean-reverting model (if stationary). Jan 8, 2025 ... The gambler's fallacy may lead many to believe that the market is “due” for a bad year given a meaningfully lower long-term average annual return for the S&P ... Apr 12, 2021 ... A mean-reverting time series tends to move towards its long-term mean. The model predicts that the value will stay the same if the time series ... Aug 28, 2024 ... In practical applications, mean reversion is a popular strategy in algorithmic trading. Traders may buy undervalued assets, anticipating they ... Jul 13, 2020 ... Can someone explain the difference in layman terms such that a non-statistics person can understand easily? Both seems to contradict each other. 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 ...