What are some arguments against the reliability of mean reversion? Explain the concept of a stationary process in relation to mean reversion.

Aug 1, 1987 ... It demonstrates that variance ratios are among the most powerful tests for detecting mean reversion in stock prices, but that they have little ... Abstract. Previous time-series studies have shown evidence of mean-reversion in real exchange rates. Deviations from purchasing power parity (PPP) appear to ... Dec 16, 2023 ... At its core, mean reversion suggests that when a financial instrument experiences a substantial deviation from its historical mean, it is likely ... 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 ... Mar 19, 2025 ... We concluded that the popular evidence for mean reversion is an “optical illusion” that employs hindsight. We used the Yearbook's global dataset ... Jan 27, 2025 ... Mean reversion in randomized controlled trials: Implications for program targeting and heterogeneous treatment effects. In this article we are going to outline the statistical tests necessary to identify mean reversion. In particular, we will study the concept of stationarity ... 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 ... In this paper, we study the profitability of market making strategies in a variety of time series models for the evolution of a stock's price. 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 ...