U.S. Equity Mean-Reversion Examined

U.S. Equity Mean-Reversion Examined

In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL; Quant. Financ. 2010, 10, 761–782) within the Black and Litterman framework (BL; J. Fixed Income, 199...

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Bibliographic Details
Main Authors: Jim Liew, Ryan Roberts
Format: Article
Language:English
Published: MDPI AG 2013-12-01
Series:Risks
Subjects:
Black–Litterman
US stocks
dynamic trading strategy
mean-reversion
quantitative finance
statistical arbitrage
Online Access:http://www.mdpi.com/2227-9091/1/3/162

Internet

http://www.mdpi.com/2227-9091/1/3/162

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