NO.PZ2018122701000053

NO.PZ2018122701000053

问题如下：

The long-term mean of the correlation data is 35%. In January 2014, the averaged correlation of the 30 × 30 Dow correlation matrices was 27%.From the regression function from 1972 to 2012, the average mean reversion was 77.5%. Using the simple s(t) - s(t-1) = alpha × [μ - s(t - 1)] model, what is the expected correlation for February 2014?

选项：

27.75%

28.80%

33.20%

37.50%

解释：

C is correct.

考点 $：$ Some Correlation Basics

解析 $：$ 33.20% = 27.0% + 77.5% × (35.0% - 27.0%)

St-1 就是表示 averaged correlation（t-1时间段）吗，那St 是表示现在的平均相关系数，然后long-term mean 是式子里面的mean？

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品职答疑小助手雍 · 2022年03月02日

同学你好，根据题面s(t) - s(t-1) = alpha × [μ - s(t - 1)]

s(t)=s(t-1) +alpha × [μ - s(t - 1)]，和解析中的数字一一对应。

St是题目要求的答案。

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NO.PZ2018122701000053 问题如下 The long-term meof the correlation ta is 35%. In January 2014, the averagecorrelation of the 30 × 30 w correlation matrices w27%.From the regression function from 1972 to 2012, the average mereversion w77.5%. Using the simple s(t) - s(t-1) = alpha × [μ - s(t - 1)] mol, whis the expectecorrelation for February 2014? 27.75% 28.80% 33.20% 37.50% C is correct. 考点 ： Some Correlation Basi 解析 ： 33.20% = 27.0% + 77.5% × (35.0% - 27.0%) 按照讲义所说，alpha*miu为mereversion的系数，为什么这题直接将alpha作为mereversion的系数呢？

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NO.PZ2018122701000053

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