IEEE - Institute of Electrical and Electronics Engineers, Inc. - Modeling of Stock Markets with Mean Reversion

2007 IEEE International Conference on Control and Automation, ICCA 2007

Author(s): Ming Hao Eng ; Qing-Guo Wang
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 May 2007
Conference Location: Guangzhou, China
Conference Date: 30 May 2007
Page(s): 2,615 - 2,618
ISBN (CD): 978-1-4244-0818-4
ISBN (Paper): 978-1-4244-0817-7
DOI: 10.1109/ICCA.2007.4376835
Regular:

In this article we present a method for modeling and estimating the stock market with a mean reverting characteristic. Mean reversion is the tendency for the market to move back to an equilibrium... View More

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