What are some potential future research directions in the field of mean reversion? How can you build a diversified portfolio of mean reversion strategies?

Mar 10, 2025 ... This article helps you build, analyze, and trade mean-reversion strategies across different agriculture, energy, and metal commodity markets. Stock returns display significant negative serial correlation, in other words, prices are mean reverting. This column reviews some of this evidence. Apr 27, 2020 ... We demonstrated that rebalancing a strategic asset allocation was inherently concave (ie mean reversionary) whereas trend-following and momentum was inherently ... When the current market price is above the average past price, the market price is expected to fall. In other words, deviations from the average price are ... Jun 20, 2022 ... For example, if a stock price has been rising for several months, it may be said to have "mean reverted" if it falls back to its average price ... Jul 25, 2016 ... Because the firm sees markets through this mean-reversion lens, GMO tracks how bubbles are forming and the risks if they burst. The firm's ... Feb 28, 2025 ... The MSCI Four Asian Dragons Select Mean Reversion Index aims to represent the performance of a strategy which, on a daily basis, ... 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 ... Mean reversion refers to an asset's tendency to stick to typical value increases over time. Again, while volatility may play a role in short-term price or value ... 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 ...