In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL; Quant. Financ. 2010, 10, 761–782) within the Black and Litterman framework (BL; J. Fixed Income, 1991, 1, 7–18; Financ. Anal. J. 1992, 48, 28–43). In particular, we incorporate the s-scores and the...

The goals of the paper are as follows: i) review some qualitative properties of oil and gas prices in the last 15 years; ii) propose some mathematical elements towards a definition of mean reversion that would not be reduced to the form of the drift in a stochastic differential equation; iii) conduct econometric tests in order to conclude whether mean reversion still exists in the energy commod...

a r t i c l e i n f o This study examines whether mean reversion in REIT prices presents an asymmetric behavior across various quantiles. Distinguished from previous literature that applied the traditional linear unit-root test, a state-of-the-art quantile unit-root test is employed to identify financial asset predictability in five real estate investment trust (REIT) classifications. Our empir...

In this paper, we study the online portfolio selection problem from the perspective of meta learning for mean reversion. The online portfolio selection problem aims to maximize the final accumulated wealth by rebalancing the portfolio at each time period based on the portfolio prices announced before. Mean Reversion is a typical principle in portfolio theory and strategies that utilize this pri...

Formation of nano/ultrafine grain structure in AISI 304L austenitic stainless steel through the martensite reversion treatment was studied. The solution annealed specimens were cold rolled up to 95 % thickness reduction at -15°C. The cold-rolled specimens were subjected to reversion annealing treatment at the temperature range of 700-1000 °C for 10–150 min. Microstructural evolutions were analy...