Half-Life of Mean Reversion

Mean reversion describes an asset's tendency to return to its average price. This tendency is not instant. Assets diverge from their mean, then drift back. The speed of this drift back to the mean sha

Half-life quantifies mean reversion speed. It measures the time for a deviation from the mean to halve. A shorter half-life shows faster mean reversion. Traders use half-life to find assets for mean r

The Ornstein-Uhlenbeck (OU) process models mean-reverting behavior. It describes a variable pulling back towards its long-term average. This process is a continuous-time stochastic process. It applies

The half-life of mean reversion quantifies how quickly a financial series returns to its long-term average. It measures the time a deviation from the mean needs to decay by 50%. A shorter half-life sh

Half-life quantifies mean reversion speed. It measures the time for a deviation from the mean to decay by half. A shorter half-life indicates faster mean reversion. A longer half-life suggests slower

Half-life quantifies mean reversion speed. It measures the time for a price deviation to decay by half. A shorter half-life indicates faster mean reversion. A longer half-life suggests slower mean rev

Mean reversion strategies profit from prices returning to an average. The speed of this return directly impacts strategy profitability. Half-life quantifies this speed. It measures the time for a devi

Mean reversion half-life quantifies price normalization speed. It measures the time for a deviation from the mean to decay by 50%. This metric varies across asset classes. Understanding these differen

Half-life quantifies the speed of mean reversion. It measures the time for a deviation from the mean to decay by 50%. A shorter half-life indicates faster reversion. A longer half-life suggests slower

Mean reversion strategies profit from price deviations returning to a long-term average. The half-life of mean reversion quantifies this tendency. It measures the time for a price deviation to dissipa