The exploitation of the mean-reversion of commodity prices is important for inventory management, in‡ation forecasting and contingent claim pricing. Bessembinder, Coughenour, Seguin and Smoller (1995) document the mean-reversion of commodity spot prices using futures term structure data; however, mean-reversion to a constant level is rejected in nearly all studies using historical spot price ti...

This paper develops the approximate finite-sample bias of the ordinary least squares or quasi maximum likelihood estimator of the mean reversion parameter in continuous-time Lévy processes. For the special case of Gaussian processes, our results reduce to those of Tang and Chen (2009) (when the long-run mean is unknown) and Yu (2012) (when the long-run mean is known). Simulations show that in g...

In this study, we analyze the volatility of indices and estimate Hurst parameter using data from five international markets. For our analysis, consider daily VIX (CBOE), VXN (CBOE Nasdaq 100), VXD (DJIA), VHSI (HSI), KSVKOSPI (KOSPI). The period analysis is January 2001 to December 2021 incorporates various market phases, such as booms crashes. novelty here use recent methodology, including dif...

TRAINS which approach wild type in appearance or behavior can arise from s mutant strains as a result of either reversion (mutation at the original mutant locus) or suppression (mutation at some other genetic locus). In microorganisms both reversions ( HOGNESS and MITCHELL 1954) and some suppressor mutations (YANOFSKY 1952; PARKS and DOUGLAS 1957) are known to act by restoring the specific enzy...

We study whether the nonlinear behavior of the real exchange rate can help us account for the lack of predictability of the nominal exchange rate. We construct a smooth nonlinear error-correction model that allows us to test the hypotheses of nonlinear predictability of the nominal exchange rate and nonlinear behavior on the real exchange rate in the context of a fully specified cointegrated sy...

There is increasing evidence that aggregate housing price are predictable. Despite this, a random walk in time and independence in space are two maintained hypotheses in the empirical models for housing price measurement used by government agencies and by commercial companies as well. This paper examines the price discovery process in individual dwellings over time and space by relaxing both as...

There is a large and growing literature that investigates evidence for mean reversion in stock prices. Empirically, there is no consensus as to whether stock prices are mean reverting or random walk processes; at best, the results are mixed. In this paper, we provide further evidence on the mean reversion hypothesis for seventeen European countries using the Levin and Lin (1992), seemingly unre...

We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated to price increments. By modeling the marks with a suitable Markov chain, we can reproduce the strong mean-reversion of price returns known as microstructure...