On-Line Portfolio Selection with Moving Average Reversion

On-line portfolio selection has attracted increasing interests in machine learning and AI communities recently. Empirical evidences show that stock's high and low prices are temporary and stock price relatives are likely to follow the mean reversion phenomenon. While the existing mean reversion strategies are shown to achieve good empirical performance on many real datasets, they often make the single-period mean reversion assumption, which is not always satisfied in some real datasets, leading to poor performance when the assumption does not hold. To overcome the limitation, this article proposes a multiple-period mean reversion, or so-called Moving Average Reversion (MAR), and a new on-line portfolio selection strategy named "On-Line Moving Average Reversion" (OLMAR), which exploits MAR by applying powerful online learning techniques. From our empirical results, we found that OLMAR can overcome the drawback of existing mean reversion algorithms and achieve significantly better results, especially on the datasets where the existing mean reversion algorithms failed. In addition to superior trading performance, OLMAR also runs extremely fast, further supporting its practical applicability to a wide range of applications.Comment: ICML201

Reversion phenomena of Cu-Cr alloys

Cu-Cr alloys which were given various aging and reversion treatments were investigated in terms of electrical resistivity and hardness. Transmission electron microscopy was one technique employed. Some results obtained are as follows: the increment of electrical resistivity after the reversion at a constant temperature decreases as the aging temperature rises. In a constant aging condition, the increment of electrical resistivity after the reversion increases, and the time required for a maximum reversion becomes shorter as the reversion temperature rises. The reversion phenomena can be repeated, but its amount decreases rapidly by repetition. At first, the amount of reversion increases with aging time and reaches its maximum, and then tends to decrease again. Hardness changes by the reversion are very small, but the hardness tends to soften slightly. Any changes in transmission electron micrographs by the reversion treatment cannot be detected

Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century

This paper analyzes mean reversion in international stock markets during the period 1900-2008, using annual data. Our panel of stock indexes in seventeen developed countries, covering a time span of more than a century, allows us to analyze in detail the dynamics of the mean-reversion process. In the period 1900-2008 it takes stock prices about 13.8 years, on average, to absorb half of a shock. However, using a rolling-window approach we establish large fluctuations in the speed of mean reversion over time. The highest mean reversion speed is found for the period including the Great Depression and the start of World War II. Furthermore, the early years of the Cold War and the period covering the Oil Crisis of 1973, the Energy Crisis of 1979 and Black Monday in 1987 are also characterized by relatively fast mean reversion. Overall, we document half-lives ranging from a minimum of 2.1 years to a maximum of 23.8 years. In a substantial number of time periods no significant mean reversion is found at all, which underlines the fact that the choice of data sample contributes substantially to the evidence in favor of mean reversion. Our results suggest that the speed at which stocks revert to their fundamental value is higher in periods of high economic uncertainty, caused by major economic and political events.mean reversion, market efficiency

Natural aging and reversion behavior of Al-Cu-Li-Ag-Mg alloy Weldalite (tm) 049

This study was initiated to understand the natural aging and reversion behavior of Weldalite (trademark) 049 in tempers without cold work. Of particular interest are: (1) the microstructural basis for the high strength in the T4 condition; (2) an explanation of the reversion phenomenon; and (3) the effect of re-aging at room temperature after a reversion treatment. Mechanical properties were measured and transmission electron microscopy (TEM) analysis performed at various stages of microstructural development during aging, reversion, and subsequent re-aging

On reversion phenomena in Cu-Zr-Cr alloys

Reversion phenomena in aged Cu-0.12% Zr-0.28% Cr alloy were investigated by means of resistivity measurement and transmission electron microscopy and compared with those of Cu-0.30% Zr and Cu-0.26% Cr alloys. Specimens in the form of a 0.5 mm sheet were solution-treated at 950 F for 1 hr water-quenched, aged, and finally reversed. The reversion phenomena were confirmed to exist in Cu-Zr and Cu-Zr-Cr alloys as well as Cu-Cr alloys, at aging temperatures of 300 to 500 F. The critical aging temperature for the reversion was not observed in all the alloys. Split aging increased the amount of reversion, particularly in Cu-Zr and Cu-Zr-Cr alloys, compared with that by conventional aging. The amount of reversion in Cu-Zr-Cr alloy was greatly affected by the resolution of Cr precipitate formed by preaging. Structural changes in Cu-Zr-Cr alloy due to the reversion were hardly observed by transmission electron microscopy

Are Price-Earnings Ratios Mean Reverting? An Empirical Study

Mean reversion in stock prices is a highly studied area in the financial literature with controversial findings. While some economists have found evidence of mean reverting processes in stock prices, many argue in favor of the Efficient Market Hypothesis which states stock prices are random walk processes. This paper seeks to add to the literature on mean reversion but testing for evidence in price-earnings ratios rather than stock prices. The study employs a robust regression model controlling for company-specific and general market factors that influence price-earnings ratio deviations. After correcting for heteroskedasticity, serial correlation, and unit root processes, the results indicate mean reverting behavior does exist in US equities from 2008- 2017 and mean reversion in price-earnings ratios may occur more quickly than mean reversion of stock prices. The outcome of this paper also implies some level of endogeneity in the Three-Factor-Model proposed by Fama and French (1992)

Nanoscale austenite reversion through partitioning, segregation, and kinetic freezing: Example of a ductile 2 GPa Fe-Cr-C steel

Austenite reversion during tempering of a Fe-13.6Cr-0.44C (wt.%) martensite results in an ultrahigh strength ferritic stainless steel with excellent ductility. The austenite reversion mechanism is coupled to the kinetic freezing of carbon during low-temperature partitioning at the interfaces between martensite and retained austenite and to carbon segregation at martensite-martensite grain boundaries. An advantage of austenite reversion is its scalability, i.e., changing tempering time and temperature tailors the desired strength-ductility profiles (e.g. tempering at 400{\deg}C for 1 min. produces a 2 GPa ultimate tensile strength (UTS) and 14% elongation while 30 min. at 400{\deg}C results in a UTS of ~ 1.75 GPa with an elongation of 23%). The austenite reversion process, carbide precipitation, and carbon segregation have been characterized by XRD, EBSD, TEM, and atom probe tomography (APT) in order to develop the structure-property relationships that control the material's strength and ductility.Comment: in press Acta Materialia 201

An Equilibrium Theory of Excess Volatility and Mean Reversion in Stock Market Prices

Apparent mean reversion and excess volatility in stock market prices can be reconciled with the Efficient Market Hypothesis by specifying investor preferences that give rise to the demand for portfolio insurance. Therefore, several supposed macro anomalies can be shown to be consistent with a rational market in a simple and parsimonious model of the economy. Unlike other models that have derived equilibrium mean reversion in prices, the model in this paper does not require that the production side of the economy exhibit mean reversion. It also predicts that mean reversion and excess volatility will differ substantially across subperiods.