The misconception of mean-reversion

DOI10.1088/1751-8113/45/33/332001MaRDI QIDQ2911003zbMATH OpenOpenAlexFDO

Authors Morrel H. Cohen, Iddo I. Eliazar

Publication date 12 September 2012

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1751-8113/45/33/332001

zbMATH Keywords

diffusion dynamicseconomics and financeFokker-Planck equationLangevin dynamicsLangevin stochastic differential equationOrnstein-Uhlenbeck process

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

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Cited in

(3)

• On the physical interpretation of statistical data from black-box systems
• Average crossing time: an alternative characterization of mean aversion and reversion
• Power Brownian motion: an Ornstein-Uhlenbeck lookout

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