1.2题,没有听懂,Y=0.34-0.55X,(1) X和Y分别是什么?题目说回归是用来估计long-term average correlation of the common stocks and the mean reverting rate. 那Y是long-term average correlation吗?X是mean reverting rate,还是average weekly correlation?
(2) 老师说mean reverting=55%,老师之前说St=a*u+(1-a)*St-1的式子里a*u的部分是mean reverting,那和Y=0.34-0.55X怎么对应啊?-0.55X对应a*u吗?a可以是负数吗?