Speed of mean reversion
Posted: Mon Apr 28, 2014 3:49 am
Hi!
I'm wondering how to calculate the speed of mean reversion. I've heard that the half-life formula is t = ln(0.5)/ln(abs(b)).
But how do you use it in practice? I'm quite lost here.
Best regards,
Maurelius
I'm wondering how to calculate the speed of mean reversion. I've heard that the half-life formula is t = ln(0.5)/ln(abs(b)).
But how do you use it in practice? I'm quite lost here.
Best regards,
Maurelius