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ciaoyy · 2019年06月23日

问一道题:NO.PZ2016070201000068

问题如下图:

    

选项:

A.

B.

C.

D.

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?

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orange品职答疑助手 · 2019年06月23日

同学你好,题目里说了这是short-term,而且本题这种新闻并不是特别影响长期,所以就可以认为它会很快的恢复到均值水平。回复的速度快,就认为这个均值回归的系数就很高。

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请老师帮忙解读答案

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