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Regime Transition Period Into Mean Reversion 1997-2002 and Post Mean Reversion 2003-08

September 21, 2009

spruns9702

spruns0308

2 Comments leave one →
  1. September 21, 2009 3:21 pm

    Thanks for the charts David. Does anyone have an opinion as to what changed this decade to cause the switch?

  2. WTP permalink
    September 21, 2009 4:07 pm

    David,

    Thanks again for the excellent work.
    My rough stats show that the mean reversion tendency weakened somewhat in the 1st half (vs ’08) and further deteriorated in Q3 (consistent with others findings). What thresholds of time & level changes do you use to test for regime changes?

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