Tag Archives: mean reversion

Another look at autocorrelation in the S&P 500

Casting doubt on the possibility of mean reversion in the S&P 500 lately. Previously A look at volatility estimates in “The mystery of volatility estimates from daily versus monthly returns” led to considering the possibility of autocorrelation in the returns.  I estimated an AR(1) model through time and added a naive confidence interval to the … Continue reading

Posted in Quant finance, R language | Tagged , , , | 5 Comments

The mean reversion of Groundhog Day

February 2nd is Groundhog Day.  If Punxsutawney Phil sees his shadow, then he goes back into his burrow and hibernates for six more weeks.  Otherwise he predicts an early spring. It is really a mean reversion idea — current good weather means bad weather later, and vice versa. The other Groundhog Day Most people outside … Continue reading

Posted in Fund management in general | Tagged , , | 3 Comments

The tightrope of the random walk

We’re really interested in markets, but we’ll start with a series of coin tosses.  If the coin lands heads, then we go up one; if it lands tails, we go down one. Figure 1: A coin toss path.Figure 1 is the result of one thousand coin flips.  It is a random walk. The R command … Continue reading

Posted in Fund management in general, R language | Tagged , , , , | 4 Comments