What is the role of investor sentiment in driving deviations from the mean? How do different timeframes affect the application of mean reversion strategies?

This article proposes a novel online portfolio selection strategy named Confidence Weighted Mean Reversion (CWMR). Jan 31, 2024 ... Mean reversion is a theory or concept used by traders and investors to time strategies. It suggests that, over time, prices will move toward a long-term ... In this short research, we examine how Bitcoin's price is affected by its maximal or minimal price over the previous 10 to 50 days. 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 ... Eligibility criteria for interventions can induce an Ashenfelter Dip, and subsequent mean-reversion results in improvement over time even absent the ... The strategy is to take advantage of divergences in the stock prices of the pair, where one stock moves up while the other moves down. When this occurs, a pairs ... Interest rates that are relative mean reverting reflect per capita economic growth, which is driven by technical progress in the long run. The real interest ... The author provides an economic model that explains more than 90% of the CAPE ratio's variability. A link between the economy and CAPE is useful in investment ... This book provides an easy-to-understand approach to options using vertical spreads and walks you through a comprehensive rules-based strategy. 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 ...