The Basics of Mean Reversion
11 Apr 2022Most price series are not mean reverting, but are geometric random walks. The returns, not the prices, are the ones that usually random distribute around a mean of zero. Unfortunately we cannot trade around the mean reversion of returns. One must not confuse mean reversion of returns with anti-serial-correlation of returns which we can definitely trade one. But anti-serial correlation of returns is the same as mean reversion of prices. Read more...