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Symmetry classification and invariant solutions of the classical geometric mean reversion process

• Authors : Zhang, Jin; Gao, Dapeng

Subjects: Mathematics - Dynamical Systems; Mathematics - Analysis of PDEs; Mathematics - Probability

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Modelling and Pricing Temperature Using Ornstein-Uhlenbeck Process with Stochastic Speed of Mean Reversion.

• Authors : Che Taib, Che Mohd Imran¹; Darus, Mukminah¹

• Source: Matematika. Apr2025, Vol. 41 Issue 1, p109-122. 14p.

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TESTING MEAN REVERSION OF STOCK PRICES IN OECD COUNTRIES: EVIDENCE FROM FOURIER THRESHOLD UNIT ROOT TEST

• Authors : Gökhan Konat; Hüseyin İşlek

Subjects: 0502 economics and business; 05 social sciences; fourier function

• Source: Journal of Research in Business. 9:1-17

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Stationarity without mean reversion in improper Gaussian processes

• Authors : Ambrogioni, Luca

Subjects: Statistics - Machine Learning; Computer Science - Machine Learning

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A mean reversion selling rule with constraints

• Authors : Phong Thanh Luu; Jingzhi Tie; Qing Zhang

• Source: Mathematical Control and Related Fields. 15:515-527

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ARMA and/or SETAR Estimation and Out-of-Sample Forecast of the Mean-Reversion Between Brent Crude Oil and Gasoline Prices on the Ghanaian Market

• Authors : Emmanuel deGraft Johnson Owusu Ansah; Jonathan Ayiku; Simon Kojo Appiah

Subjects: QA1-939; mean-reversion, ex-pump, ex-refinery; Probabilities. Mathematical statistics

• Source: Ratio Mathematica, Vol 51, Iss 0 (2024)

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Approximately optimal trade execution strategies under fast mean-reversion

• Authors : Evangelista, David; Thamsten, Yuri

Subjects: Quantitative Finance - Mathematical Finance; Mathematics - Analysis of PDEs; Mathematics - Optimization and Control

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Anti-Persistent Values of the Hurst Exponent Anticipate Mean Reversion in Pairs Trading: The Cryptocurrencies Market as a Case Study.

• Authors : Grande, Mar^1,2 (AUTHOR) ; Borondo, Florentino³ (AUTHOR) ; Losada, Juan Carlos¹ (AUTHOR)

• Source: Mathematics (2227-7390). Sep2024, Vol. 12 Issue 18, p2911. 14p.

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Household expenditure in Africa: evidence of mean reversion

• Authors : Gbenga A. Olalude; OlaOluwa S. Yaya; Hammed A. Olayinka

Subjects: classification; 8. Economic growth; Africa

• Source: Statistics in Transition new series. 24:171-186

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Variational inequality arising from variable annuity with mean reversion environment

• Authors : Junkee Jeon; Geonwoo Kim

Subjects: Variable annuity; Optimal surrender boundary; Variational inequality

• Source: Journal of Inequalities and Applications, Vol 2023, Iss 1, Pp 1-20 (2023)

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