国外量化投资课件Lecture5Quant.pdfVIP

Lecture 5: Mean-Reversion Marco Avellaneda G63.2936.001 Spring Semester 2009 Stationarity/ Non Stationarity Definition: a stochastic process is stationary if ( ) Rn , ,..., , ∀m ∀ t t ∀A ∈ 1 m Pr .{(X t1 , X t2 ,..., X tm )∈ A}= Pr .{(X t1+h , X t2 +h ,..., X tm +h )∈ A} A stationary process is a process that is ``statistically invariant under translations’’ Examples: the Ornstein-Uhlembeck process is stationary, Brownian moti