A new definition for time-dependent price mean reversion in commodity markets

Authors
Kocagil, AE Swanson, NR Zeng, T
Citation
Ae. Kocagil et al., A new definition for time-dependent price mean reversion in commodity markets, ECON LETT, 71(1), 2001, pp. 9-16
Citations number
12
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
71
Issue
1
Year of publication
2001
Pages
9 - 16
Database
ISI
SICI code
0165-1765(200104)71:1<9:ANDFTP>2.0.ZU;2-E
Abstract
In this note we propose a time-dependent definition of mean reversion, and empirically compare our definition with two former definitions, We show tha t the incidence of mean reversion is approximately 30-40% less under the ne w and more robust definition. (C) 2001 Elsevier Science BN. All rights rese rved.