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moon · 2019年09月15日

问一道题:NO.PZ2016070201000068

问题如下图:

    

选项:

A.

B.

C.

D.

解释:


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-pried luxury automoboiles,那均值水平不是应该高嘛,为什么不是low mean revertion parameter呢? high mean reverreversion parameter不会下降到低于均值的水平吗?

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orange品职答疑助手 · 2019年09月16日

同学你好。价格突然提升,会对宏观经济产生影响,进而影响到利率。

题目中提到了这个变化是short-term,亦即短期就会恢复到均值水平,同样的变化,回归到均值的时间越短,必然这个回归均值的速度的值就很大,即high mean-reversion parameter.

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