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Frequency of Daily Runs by Decade: The Driving Force Behind Recent Mean Reversion Dominance (analyis and more coming soon)

September 20, 2009


6 Comments leave one →
  1. profitrazor permalink
    September 21, 2009 1:50 am

    Nice! Gave me a new perspecive on mean reversion.

    Have you done any Run Analysis on other periods (shorter)?

  2. Don permalink
    September 21, 2009 6:48 am

    Interesting data, but the table and graph don’t match for the leftmost column. runs of length 1 in the table range from 39% (1960 & 1970) to 53 (2000’s), yet I infer from the chart the the number of length of run =1 is generally increasing from a low of about 33% to 51%.

  3. Alex permalink
    September 21, 2009 11:11 am

    Artifical inteligence discovers kurtosis. I’m pretty sure it became self aware earlier in the process, but it’s just tryint to generate views fro the blog 🙂 hehe

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