Mean reversion (finance) (original) (raw)
均值回归是一个金融領域概念，指的是一项资产的价格會随着时间的推移趋向于平均价格。当市场价格低于过去的平均价格时，该证券就有可能被人購買，预期价格会上升。当目前的市场价格高于过去的平均价格时，预期价格就会下降。换句话说，偏离平均价格的情况预计会恢复到平均水平。
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| dbo:abstract | Der Begriff Mean Reversion (Mittelwertrückkehr) ist in der Kapitalmarkttheorie eine Erweiterung der Regression zur Mitte um negative Autokorrelation in Bezug auf Marktpreis- und Volatilitätsveränderungen. Gemeint ist die Theorie, dass Märkte zu Übertreibungen neigen, die sich im Zeitablauf nicht nur zufällig korrigieren, sondern ein „Gedächtnis“ haben und vorherige Trends umkehren. Daher folgt aus einem Kursanstieg die Notwendigkeit eines künftig sinkenden Kurses (englisch: „What goes up, must come down“) und umgekehrt. Der Extremfall sind Spekulationsblasen. Das Gleiche gilt für Volatilitäten und Umsatzvolumina. Die Theorie steht im Gegensatz zur Markteffizienzhypothese. Mean Reversion bei in die Zukunft laufenden Reihen bedeutet, dass Ertragsraten und Zinssätze langfristig nicht nur um einen mittleren Wert schwanken, sondern geradezu aktiv wieder zu diesem zurückkehren. Mean Reversion ist eine der Möglichkeiten, die im Black-Scholes-Modell vereinfachend als konstant vorausgesetzte Volatilität zu modellieren, und ist Bestandteil mehrerer Zinsstrukturmodelle. Häufig zur Modellierung von Mean Reversion herangezogene stochastische Prozesse sind der Ornstein-Uhlenbeck-Prozess und der Wurzel-Diffusionsprozess. (de) Mean reversion is a financial term for the assumption that an asset's price will tend to converge to the average price over time. Using mean reversion as a timing strategy involves both the identification of the trading range for a security and the computation of the average price using quantitative methods. Mean reversion is a phenomenon that can be exhibited in a host of financial time-series data, from price data, earnings data, and book value. When the current market price is less than the average past price, the security is considered attractive for purchase, with the expectation that the price will rise. When the current market price is above the average past price, the market price is expected to fall. In other words, deviations from the average price are expected to revert to the average. This knowledge serves as the cornerstone of multiple trading strategies. Stock reporting services commonly offer moving averages for periods such as 50 and 100 days. While reporting services provide the averages, identifying the high and low prices for the study period is still necessary. Mean reversion has the appearance of a more scientific method of choosing stock buy and sell points than charting, because precise numerical values are derived from historical data to identify the buy/sell values, rather than trying to interpret price movements using charts (charting, also known as technical analysis) although the RSI indicator and Average True Range (ATR) are nascent attempts to capture such systematic pattern. Many asset classes, even exchange rates, are observed to be mean reverting; however, this process may last for years and thus is not of value to a short-term investor. Mean reversion should demonstrate a form of symmetry since a stock may be above its historical average approximately as often as below. A historical mean reversion model will not fully incorporate the actual behavior of a security's price. For example, new information may become available that permanently affects the long-term valuation of an underlying stock. In the case of bankruptcy, it may cease to trade completely and never recover to its former historical average. In finance, the term "mean reversion" has a slightly different meaning from "return or regression to the mean" in statistics. Jeremy Siegel uses the term "return to the mean" to describe a general principle, a financial time series in which "returns can be very unstable in the short run but very stable in the long run." Quantitatively, it is the standard deviation of average annual returns that declines faster than the inverse of the holding period, implying that the process is not a random walk, but that periods of lower returns are then followed by compensating periods of higher returns, for example in seasonal businesses.[8] (en) 均值回归是一个金融領域概念，指的是一项资产的价格會随着时间的推移趋向于平均价格。当市场价格低于过去的平均价格时，该证券就有可能被人購買，预期价格会上升。当目前的市场价格高于过去的平均价格时，预期价格就会下降。换句话说，偏离平均价格的情况预计会恢复到平均水平。 (zh) |
| dbo:wikiPageExternalLink | https://ssrn.com/abstract=1608822 http://www.bus.lsu.edu/economics/papers/pap03_10.pdf |
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| rdfs:comment | 均值回归是一个金融領域概念，指的是一项资产的价格會随着时间的推移趋向于平均价格。当市场价格低于过去的平均价格时，该证券就有可能被人購買，预期价格会上升。当目前的市场价格高于过去的平均价格时，预期价格就会下降。换句话说，偏离平均价格的情况预计会恢复到平均水平。 (zh) Der Begriff Mean Reversion (Mittelwertrückkehr) ist in der Kapitalmarkttheorie eine Erweiterung der Regression zur Mitte um negative Autokorrelation in Bezug auf Marktpreis- und Volatilitätsveränderungen. Gemeint ist die Theorie, dass Märkte zu Übertreibungen neigen, die sich im Zeitablauf nicht nur zufällig korrigieren, sondern ein „Gedächtnis“ haben und vorherige Trends umkehren. Daher folgt aus einem Kursanstieg die Notwendigkeit eines künftig sinkenden Kurses (englisch: „What goes up, must come down“) und umgekehrt. Der Extremfall sind Spekulationsblasen. Das Gleiche gilt für Volatilitäten und Umsatzvolumina. Die Theorie steht im Gegensatz zur Markteffizienzhypothese. (de) Mean reversion is a financial term for the assumption that an asset's price will tend to converge to the average price over time. Using mean reversion as a timing strategy involves both the identification of the trading range for a security and the computation of the average price using quantitative methods. Mean reversion is a phenomenon that can be exhibited in a host of financial time-series data, from price data, earnings data, and book value. Mean reversion should demonstrate a form of symmetry since a stock may be above its historical average approximately as often as below. (en) |
| rdfs:label | Mean-Reversion-Effekt (de) Mean reversion (finance) (en) 均值回歸 (zh) |
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