Quantitative investment and trading ideas, research, and analysis.
Friday, March 13, 2009
Mean-reversion is getting stronger
As I mentioned in various previous blog posts, (e.g. see here), I believe mean-reversion strategies have been performing very well in the last year. Now here is an article (hat tip: Laurence) that provides concrete analysis to support this hypothesis. In fact, the author points out that most of the mean-reversion in recent years comes from the overnight close-to-open reversal.