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- W4303980506 abstract "Stock prices are well known to exhibit behaviors that are difficult to model mathematically. Individual stocks are observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum. Here we show that individual stocks can be modeled by simple mean reverting processes in such a way that these behaviors are captured, the model is arbitrage free, and market informational efficiency is preserved. Simulation shows that in such a market, when mean reversion is sufficiently high, strategies which use reversals would substantially outperform buy and hold strategies." @default.
- W4303980506 created "2022-10-10" @default.
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- W4303980506 date "2022-10-02" @default.
- W4303980506 modified "2023-09-30" @default.
- W4303980506 title "Modeling Momentum and Reversals" @default.
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- W4303980506 doi "https://doi.org/10.3390/risks10100190" @default.
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