Average crossing time: An alternative characterization of mean aversion and reversion

• 成果类型: Article
• 署名作者: Donaldson, John B.; Mehra, Rajnish
• 署名单位: Columbia University; Arizona State University; Arizona State University-Tempe; National Bureau of Economic Research
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE1560
• 发表日期: 2021
• 页码: 903-944
• 关键词: Mean aversion; mean reversion; average crossing time; Time Series; asset pricing; C13; C53; E3; E44; E47; g1; G12

摘要

This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the Average Crossing Time or ACT. We argue that the ACT measure, per se, provides not only a useful benchmark for the degree of mean reversion/aversion, but also an intuitive, and easily quantified sense of one time series being more strongly mean-reverting/averting than another. We conclude our discussion by deriving the ACT measure for a wide class of stochastic processes and detailing its statistical characteristics. Our analysis is principally undertaken within a class of well-understood production based asset pricing models.