On-line portfolio selection, a fundamental problem in computational finance, has attracted increasing interests from artificial intelligence and machine learning communities in recent years. Empirical evidence shows that stock’s high and low prices are temporary and stock price relatives are likely to follow the mean reversion phenomenon. While existing mean reversion strategies are shown to ac...

Errors in the perception of mean-reversion expectations can cause stockmarket crashes. This view was proposed by Fischer Black after the stockmarket crash of 1987. I discuss this concept and specify a stock-price model with mean-reversion in returns. Using daily data of the Dow Jones Industrial Average and the S&P500 index I show that mean-reversion in returns is a transient but recurring pheno...

This study makes use of a very long time series the S&P Composite Index, checking once more that rates return benefit from aggregational normality. It performs unit root tests as well elementary statistical take advantage finds mean blur is not consistent with hypothesis random walk constant parameters, because means annual real linear can be estimated usual. gives further evidence on Index...