问题如下图:
选项:
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解释:
如何判断mean-reversion parameter是大是小?short-lived就大,long-lived就小吗?为什么?
The Bureof Labor Statistihjust reporteunexpecteshort-term increase in high-priceluxury automobiles. Whis the most likely anticipateimpaon a mean-reverting mol of interest rates? The economic information is long-livewith a low mean-reversion parameter. The economic information is short-livewith a low mean-reversion parameter. The economic information is long-livewith a high mean-reversion parameter. The economic information is short-livewith a high mean-reversion parameter. is correct. The economic news is most likely short-term in nature. Therefore, the mereversion parameter is high so the mereversion austment per periowill relatively large. whis long liveor short live........no ia all
The economic information is short-livewith a low mean-reversion parameter. The economic information is long-livewith a high mean-reversion parameter. The economic information is short-livewith a high mean-reversion parameter. is correct. The economic news is most likely short-term in nature. Therefore, the mereversion parameter is high so the mereversion austment per periowill relatively large. 题目说这个原本价格就很高的产品突然价格又增加了,这并不能说明这个商品回到了均值回归的水平,反而离均值更远了,所以是low mereversion,因为是low meanreversion所以均值回归花的时间要长,long lived
题干里是price,问题是利率,这个地方不明白。另外一点是题目说high-prieluxury automoboiles,那均值水平不是应该高嘛,为什么不是low merevertion parameter呢? high mereverreversion parameter不会下降到低于均值的水平吗?
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